英文标题：
《Optimal Market Making in the Presence of Latency》
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作者：
Xuefeng Gao and Yunhan Wang
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最新提交年份：
2020
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英文摘要：
  This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker\'s optimization problem using Markov Decision Processes (MDP). We characterize the value of an order and show that it plays the role of one-period reward in the MDP model. Based on this characterization, we provide explicit criteria for assessing the profitability of market making when there is latency. Under our model, we show that a market maker can earn a positive expected profit if there are sufficient uninformed market orders hitting the market maker\'s limit orders compared with the rate of price jumps, and the trading horizon is sufficiently long. In addition, our theoretical and numerical results suggest that latency can be an additional source of risk and latency impacts negatively the performance of market makers.
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中文摘要：
本文研究了存在延迟时大型tick资产的最优做市策略。我们考虑了资产价格的随机游走模型，并利用马尔可夫决策过程（MDP）描述了做市商的优化问题。我们刻画了一个订单的价值，并表明它在MDP模型中起到了单期奖励的作用。基于这一特征，我们提供了在存在延迟时评估做市盈利能力的明确标准。在我们的模型下，我们表明，如果与价格上涨的速度相比，有足够多的未知情市场指令达到做市商的限价指令，并且交易期限足够长，做市商可以获得正的预期利润。此外，我们的理论和数值结果表明，延迟可能是额外的风险来源，延迟会对做市商的绩效产生负面影响。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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