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DC Field | Value | Language |
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dc.citation.startPage | 104098 | - |
dc.citation.title | JOURNAL OF ECONOMIC DYNAMICS & CONTROL | - |
dc.citation.volume | 125 | - |
dc.contributor.author | Choi, So Eun | - |
dc.contributor.author | Jang, Hyun Jin | - |
dc.contributor.author | Lee, Kyungsub | - |
dc.contributor.author | Zheng, Harry | - |
dc.date.accessioned | 2023-12-21T16:08:06Z | - |
dc.date.available | 2023-12-21T16:08:06Z | - |
dc.date.created | 2021-03-02 | - |
dc.date.issued | 2021-04 | - |
dc.description.abstract | This study investigates the optimal execution strategy of market-making for market and limit order arrival dynamics under a novel framework that includes a synchronised factor between buy and sell order arrivals. Using statistical tests, we empirically confirm that a synchrony propensity appears in the market, where a buy order arrival tends to follow the sell order's long-term mean level and vice versa. This is presumably closely related to the drastic increase in the influence of high-frequency trading activities in markets. To solve the high-dimensional Hamilton-Jacobi-Bellman equation, we propose a deep neural network approximation and theoretically verify the existence of a network structure that guarantees a sufficiently small loss function. Finally, we implement the terminal profit and loss profile of market-making using the estimated optimal strategy and compare its performance distribution with that of other feasible strategies. We find that our estimation of the optimal market-making placement allows significantly stable and steady profit accumulation over time through the implementation of strict inventory management. (C) 2021 Elsevier B.V. All rights reserved. | - |
dc.identifier.bibliographicCitation | JOURNAL OF ECONOMIC DYNAMICS & CONTROL, v.125, pp.104098 | - |
dc.identifier.doi | 10.1016/j.jedc.2021.104098 | - |
dc.identifier.issn | 0165-1889 | - |
dc.identifier.scopusid | 2-s2.0-85101606297 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/50065 | - |
dc.identifier.url | https://www.sciencedirect.com/science/article/pii/S0165188921000336 | - |
dc.identifier.wosid | 000702446100010 | - |
dc.language | 영어 | - |
dc.publisher | ELSEVIER | - |
dc.title | Optimal Market-Making Strategies under Synchronised Order Arrivals with Deep Neural Networks | - |
dc.type | Article | - |
dc.description.isOpenAccess | FALSE | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.type.docType | Article | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.subject.keywordAuthor | Optimal strategy Order arrival models Synchrony High-dimensional hamilton-Jacobi-Bellman Deep neural network | - |
dc.subject.keywordPlus | LIMITHAWKESMODELCOINTEGRATIONRISKMICROSTRUCTUREREPRESENTATIONALGORITHMSDYNAMICSPRICES | - |
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