Data Structures and Algorithms

    

A Simple Market Making Strategy for the S&P 500 Index Using Synthetic Bid-Ask Spread Data

Authors: Farid Soroush

Market making is a crucial component of financial markets, providing liquidity to market participants by quoting both buy (bid) and sell (ask) prices for an asset. The main objective of a market maker is to profit from the bid-ask spread while managing inventory risk. In this paper, we implement a simple market making strategy for the S&P 500 index using synthetic bid-ask spread data.

Comments: 5 Pages.

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Submission history

[v1] 2023-05-07 22:23:14

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