{"id":"https://openalex.org/W4401189976","doi":"https://doi.org/10.1137/23m1571058","title":"Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost","display_name":"Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost","publication_year":2024,"publication_date":"2024-07-31","ids":{"openalex":"https://openalex.org/W4401189976","doi":"https://doi.org/10.1137/23m1571058"},"language":"en","primary_location":{"id":"doi:10.1137/23m1571058","is_oa":false,"landing_page_url":"https://doi.org/10.1137/23m1571058","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://openscholarship.wustl.edu/art_sci_etds/2287","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5007142599","display_name":"Jonathan A. Ch\u00e1vez-Casillas","orcid":null},"institutions":[{"id":"https://openalex.org/I17626003","display_name":"University of Rhode Island","ror":"https://ror.org/013ckk937","country_code":"US","type":"education","lineage":["https://openalex.org/I17626003"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Jonathan Ch\u00e1vez-Casillas","raw_affiliation_strings":["Department of Mathematics and Applied Mathematical Sciences, University of Rhode Island, Kingston, RI 02881 USA"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Applied Mathematical Sciences, University of Rhode Island, Kingston, RI 02881 USA","institution_ids":["https://openalex.org/I17626003"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5050581969","display_name":"Jos\u00e9 E. Figueroa\u2010L\u00f3pez","orcid":"https://orcid.org/0000-0002-7357-0341"},"institutions":[{"id":"https://openalex.org/I204465549","display_name":"Washington University in St. Louis","ror":"https://ror.org/01yc7t268","country_code":"US","type":"education","lineage":["https://openalex.org/I204465549"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jos\u00e9 E. Figueroa-L\u00f3pez","raw_affiliation_strings":["Department of Statistics and Data Science, Washington University in St.\u00a0Louis, St.\u00a0Louis, MO 63130-4899 USA"],"affiliations":[{"raw_affiliation_string":"Department of Statistics and Data Science, Washington University in St.\u00a0Louis, St.\u00a0Louis, MO 63130-4899 USA","institution_ids":["https://openalex.org/I204465549"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5112558555","display_name":"Chu\u2010Yi Yu","orcid":null},"institutions":[{"id":"https://openalex.org/I4210098931","display_name":"Quantitative BioSciences","ror":"https://ror.org/010brsj79","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I4210098931"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Chuyi Yu","raw_affiliation_strings":["Quantitative Analytics, Barclays, New York, NY 10019 USA"],"affiliations":[{"raw_affiliation_string":"Quantitative Analytics, Barclays, New York, NY 10019 USA","institution_ids":["https://openalex.org/I4210098931"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100388033","display_name":"Yi Zhang","orcid":"https://orcid.org/0000-0001-6055-9461"},"institutions":[{"id":"https://openalex.org/I22965374","display_name":"Committee on Institutional Cooperation","ror":"https://ror.org/02ntfsb56","country_code":"US","type":"education","lineage":["https://openalex.org/I22965374"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Yi Zhang","raw_affiliation_strings":["Department of Statistics, UIUC, Champaign, IL 61820 USA"],"affiliations":[{"raw_affiliation_string":"Department of Statistics, UIUC, Champaign, IL 61820 USA","institution_ids":["https://openalex.org/I22965374"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5007142599"],"corresponding_institution_ids":["https://openalex.org/I17626003"],"apc_list":null,"apc_paid":null,"fwci":1.0693,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.7806709,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":95,"max":96},"biblio":{"volume":"15","issue":"3","first_page":"653","last_page":"699"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9936000108718872,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9936000108718872,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9919999837875366,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9904000163078308,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4636337459087372},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4537146985530853},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4163004159927368},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.37377917766571045},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.365797758102417},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3573511242866516},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.21796616911888123}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4636337459087372},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4537146985530853},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4163004159927368},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.37377917766571045},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.365797758102417},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3573511242866516},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.21796616911888123}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/23m1571058","is_oa":false,"landing_page_url":"https://doi.org/10.1137/23m1571058","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:openscholarship.wustl.edu:art_sci_etds-3334","is_oa":true,"landing_page_url":"https://openscholarship.wustl.edu/art_sci_etds/2287","pdf_url":"https://openscholarship.wustl.edu/art_sci_etds/2287","source":{"id":"https://openalex.org/S4377196400","display_name":"Open Scholarship Institutional Repository (Washington University in St. Louis)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I204465549","host_organization_name":"Washington University in St. Louis","host_organization_lineage":["https://openalex.org/I204465549"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Arts &amp; Sciences Electronic Theses and Dissertations","raw_type":"text"},{"id":"doi:10.7936/q77s-bm75","is_oa":true,"landing_page_url":"https://doi.org/10.7936/q77s-bm75","pdf_url":null,"source":{"id":"https://openalex.org/S7407053377","display_name":"Washington University in St. Louis Libraries","issn_l":null,"issn":[],"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"thesis"}],"best_oa_location":{"id":"pmh:oai:openscholarship.wustl.edu:art_sci_etds-3334","is_oa":true,"landing_page_url":"https://openscholarship.wustl.edu/art_sci_etds/2287","pdf_url":"https://openscholarship.wustl.edu/art_sci_etds/2287","source":{"id":"https://openalex.org/S4377196400","display_name":"Open Scholarship Institutional Repository (Washington University in St. Louis)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I204465549","host_organization_name":"Washington University in St. Louis","host_organization_lineage":["https://openalex.org/I204465549"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Arts &amp; Sciences Electronic Theses and Dissertations","raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1853921002","display_name":null,"funder_award_id":"DMS-1613016","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"},{"id":"https://openalex.org/G7849933216","display_name":null,"funder_award_id":"DMS-2015323","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4401189976.pdf"},"referenced_works_count":25,"referenced_works":["https://openalex.org/W368265031","https://openalex.org/W1637685912","https://openalex.org/W2004701212","https://openalex.org/W2010654234","https://openalex.org/W2025268472","https://openalex.org/W2120949767","https://openalex.org/W2148849539","https://openalex.org/W2158145505","https://openalex.org/W2162288466","https://openalex.org/W2297399739","https://openalex.org/W2608850366","https://openalex.org/W2736022335","https://openalex.org/W2963091401","https://openalex.org/W3010679534","https://openalex.org/W3081464393","https://openalex.org/W3100442136","https://openalex.org/W3121712217","https://openalex.org/W3122773111","https://openalex.org/W3124706086","https://openalex.org/W3125653313","https://openalex.org/W3126134303","https://openalex.org/W3207805701","https://openalex.org/W4243838529","https://openalex.org/W4252930024","https://openalex.org/W4323341855"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W1502198272","https://openalex.org/W2017540542","https://openalex.org/W2006758266","https://openalex.org/W2066504725","https://openalex.org/W1527813328","https://openalex.org/W2073254488","https://openalex.org/W4313389613","https://openalex.org/W2104764082","https://openalex.org/W2070530935"],"abstract_inverted_index":{"Along":[0],"the":[1,4,13,34,43,50,71,77,80,92,97,109],"lines":[2],"of":[3,12,45,62,79],"paper":[5],"\\\\cite{zoe},":[6,33],"we":[7],"find":[8],"a":[9,19,25,56],"general":[10,87],"form":[11],"optimal":[14,35,81,94],"market":[15,21,36,82],"making":[16,37,83],"strategy":[17,38,84,99],"for":[18],"high-frequency":[20],"maker":[22],"(HFM)":[23],"in":[24,49,70],"discrete-time":[26],"Limit":[27,63],"Order":[28,47],"Book":[29],"(LOB)":[30],"model.":[31],"Unlike":[32],"is":[39],"adaptive":[40,93],"depending":[41],"on":[42,67],"arrival":[44],"Market":[46],"(MO)":[48],"previous":[51,68],"time":[52],"intervals.":[53],"We":[54],"provide":[55],"method":[57],"to":[58],"make":[59],"each":[60],"placement":[61],"Orders":[64],"(LO)":[65],"dependent":[66],"information":[69],"same":[72],"trading":[73],"day":[74],"and":[75,100],"prove":[76],"admissibility":[78],"under":[85],"some":[86],"assumptions.":[88],"Empirical":[89],"study":[90],"shows":[91],"strategies":[95],"outperform":[96],"non-adaptive":[98],"those":[101],"which":[102],"place":[103],"LOs":[104],"at":[105],"fixed":[106],"distance":[107],"from":[108],"midprice.":[110]},"counts_by_year":[{"year":2025,"cited_by_count":2}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}
