This repository contains semi random collection of "High Frequency Market Making" algorithms created using stochastic optimal control. Resulting Dynamic Programming Equations are solved using simple Euler finite difference scheme.
AS++
- Avellaneda Stoikov inspired model
- Terminal inventory penalty
- Running inventory penalty
ASAS
- Avellaneda Stoikov inspired model
- Terminal inventory penalty
- Running inventory penalty
- Factors adverse selection into the optimal distances
AS+++
- Avellaneda Stoikov inspired model
- Terminal inventory penalty
- Running inventory penalty
- Hedging areas using QVI conditions over value function
- Factors liquidity rebate into the optimal distances
ASMP
- Avellaneda Stoikov inspired model
- Incorporates Stoikov's Micro-Price model into the optimal decision to either be at the best bid or offer.