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 trialanderror Total Posts: 50 Joined: Feb 2019
 Posted: 2020-01-10 08:03 Any opinions/comments on this paper? Optimal market making Nous promettons selon nos espérances, et nous tenons selon nos craintes.
 trialanderror Total Posts: 50 Joined: Feb 2019
 Posted: 2020-01-11 14:37 85 views no comments? I'd really appreciate an educated view on the model this paper presents. Nous promettons selon nos espérances, et nous tenons selon nos craintes.
 gaj Total Posts: 117 Joined: Apr 2018
 Posted: 2020-01-12 15:46 Skimmed through the paper. For this to be useful in a high dimensional setting, closed-form approximation is indispensable. But it seems that the closed-form is only given for the uninteresting case of T->infinity. Also not sure how much value there is in solving this optimal control problem vs using simple heuristics.I feel like a lot of quant approaches fall into one of two categories:1) model the full dynamics of the system; calibrate the parameters; then solve for the function that you need.2) parametrize the function that you're looking for with a number of inputs; define an objective function; use supervised learning to find the optimal solution.Andrew Ng wrote something similar in the context of classification, where he called approach 1 "generative" and approach 2 "discriminative". A lot of fancy papers are written in (1). It usually requires more assumption, harder to calibrate, and rarely gives a closed-form solution. On the other hand, approach (2) by design provides a closed form solution and is easier to solve. My impression is that most practitioners use approach 2 in the real world.
 trialanderror Total Posts: 50 Joined: Feb 2019
 Posted: 2020-01-12 17:55 That's very interesting to learn, I was not aware it was possible to classify the problem like that. Nous promettons selon nos espérances, et nous tenons selon nos craintes.
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