Practice Trading
Run a market maker with inventory control
Hard+50 pointsAbout 80 minutesTrading
Coming soon
Simulate an Avellaneda–Stoikov market maker and tune its risk aversion for profit against inventory risk.
This problem opens with Market Microstructure and Algorithmic Trading. It draws on the modules below.
- Microstructure 3.1 Market making models (coming soon)
- Microstructure 3.2 Market making in practice (coming soon)