Tag: market_making

Parameter calibration in Avellaneda-Stoikov (03 Oct 2022)
Calibration procedure for $\Lambda$ and $k$ in the AS model

Kyle model (10 Sep 2022)
Introduction to equilibrium strategies for market participants

Glosten Milgrom with imperfectly informed traders (27 Aug 2022)
Extension of the Glosten Milgrom model to allow for uncertain informed traders

Glosten Milgrom model (23 Aug 2022)
How do the markets digest information? Introduction to the Glosten Milgrom model