<?xml version="1.0" encoding="utf-8"?>
<TEI xmlns="http://www.tei-c.org/ns/1.0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:hal="http://hal.archives-ouvertes.fr/" xmlns:gml="http://www.opengis.net/gml/3.3/" xmlns:gmlce="http://www.opengis.net/gml/3.3/ce" version="1.1" xsi:schemaLocation="http://www.tei-c.org/ns/1.0 http://api.archives-ouvertes.fr/documents/aofr-sword.xsd">
  <teiHeader>
    <fileDesc>
      <titleStmt>
        <title>HAL TEI export of hal-03857976</title>
      </titleStmt>
      <publicationStmt>
        <distributor>CCSD</distributor>
        <availability status="restricted">
          <licence target="https://creativecommons.org/publicdomain/zero/1.0/">CC0 1.0 - Universal</licence>
        </availability>
        <date when="2026-05-17T05:19:51+02:00"/>
      </publicationStmt>
      <sourceDesc>
        <p part="N">HAL API Platform</p>
      </sourceDesc>
    </fileDesc>
  </teiHeader>
  <text>
    <body>
      <listBibl>
        <biblFull>
          <titleStmt>
            <title xml:lang="en">Algorithmic market making in dealer markets with hedging and market impact</title>
            <author role="aut">
              <persName>
                <forename type="first">Alexander</forename>
                <surname>Barzykin</surname>
              </persName>
              <idno type="halauthorid">2646988-0</idno>
              <affiliation ref="#struct-354452"/>
            </author>
            <author role="aut">
              <persName>
                <forename type="first">Philippe</forename>
                <surname>Bergault</surname>
              </persName>
              <idno type="halauthorid">2057072-0</idno>
              <affiliation ref="#struct-89626"/>
            </author>
            <author role="aut">
              <persName>
                <forename type="first">Olivier</forename>
                <surname>Guéant</surname>
              </persName>
              <email type="md5">8b76035be5d773488b1b4ea647d36490</email>
              <email type="domain">gmail.com</email>
              <idno type="idhal" notation="string">olivier-gueant</idno>
              <idno type="idhal" notation="numeric">10375</idno>
              <idno type="halauthorid" notation="string">7907-10375</idno>
              <idno type="IDREF">https://www.idref.fr/124524109</idno>
              <idno type="ORCID">https://orcid.org/0000-0002-5880-9529</idno>
              <idno type="VIAF">https://viaf.org/viaf/24937050</idno>
              <idno type="ISNI">http://isni.org/isni/0000000123200775</idno>
              <affiliation ref="#struct-7550"/>
              <affiliation ref="#struct-15080"/>
            </author>
            <editor role="depositor">
              <persName>
                <forename>Olivier</forename>
                <surname>Guéant</surname>
              </persName>
              <email type="md5">69a7e1e5eb0edc5f8ef00e68632b0be8</email>
              <email type="domain">lpsm.paris</email>
            </editor>
          </titleStmt>
          <editionStmt>
            <edition n="v1" type="current">
              <date type="whenSubmitted">2022-11-17 15:24:42</date>
              <date type="whenModified">2025-09-12 03:21:23</date>
              <date type="whenReleased">2022-11-17 15:24:42</date>
              <date type="whenProduced">2022-11-17</date>
              <ref type="externalLink" target="http://arxiv.org/pdf/2106.06974"/>
            </edition>
            <respStmt>
              <resp>contributor</resp>
              <name key="67154">
                <persName>
                  <forename>Olivier</forename>
                  <surname>Guéant</surname>
                </persName>
                <email type="md5">69a7e1e5eb0edc5f8ef00e68632b0be8</email>
                <email type="domain">lpsm.paris</email>
              </name>
            </respStmt>
          </editionStmt>
          <publicationStmt>
            <distributor>CCSD</distributor>
            <idno type="halId">hal-03857976</idno>
            <idno type="halUri">https://hal.science/hal-03857976</idno>
            <idno type="halBibtex">barzykin:hal-03857976</idno>
            <idno type="halRefHtml">2022</idno>
            <idno type="halRef">2022</idno>
            <availability status="restricted"/>
          </publicationStmt>
          <seriesStmt>
            <idno type="stamp" n="SHS">Sciences de l'Homme et de la Société</idno>
            <idno type="stamp" n="UNIV-PARIS1">Université Panthéon-Sorbonne - Paris I</idno>
            <idno type="stamp" n="X">École polytechnique</idno>
            <idno type="stamp" n="CNRS">CNRS - Centre national de la recherche scientifique</idno>
            <idno type="stamp" n="CES" corresp="SHS">Centre d'Economie de la Sorbonne</idno>
            <idno type="stamp" n="AO-ECONOMIE">Archives ouvertes de l'Economie</idno>
            <idno type="stamp" n="INSMI">CNRS-INSMI - INstitut des Sciences Mathématiques et de leurs Interactions</idno>
            <idno type="stamp" n="X-CMAP" corresp="X">Centre de Mathématiques Appliquées (CMAP)</idno>
            <idno type="stamp" n="X-DEP-MATHA">Département de mathématiques appliquées de l’École polytechnique</idno>
            <idno type="stamp" n="CMAP">Centre de Mathématiques Appliquées (CMAP)</idno>
            <idno type="stamp" n="IP_PARIS">Institut Polytechnique de Paris</idno>
            <idno type="stamp" n="DEPARTEMENT-DE-MATHEMATIQUES">Collection du Département de Mathématiques</idno>
          </seriesStmt>
          <notesStmt/>
          <sourceDesc>
            <biblStruct>
              <analytic>
                <title xml:lang="en">Algorithmic market making in dealer markets with hedging and market impact</title>
                <author role="aut">
                  <persName>
                    <forename type="first">Alexander</forename>
                    <surname>Barzykin</surname>
                  </persName>
                  <idno type="halauthorid">2646988-0</idno>
                  <affiliation ref="#struct-354452"/>
                </author>
                <author role="aut">
                  <persName>
                    <forename type="first">Philippe</forename>
                    <surname>Bergault</surname>
                  </persName>
                  <idno type="halauthorid">2057072-0</idno>
                  <affiliation ref="#struct-89626"/>
                </author>
                <author role="aut">
                  <persName>
                    <forename type="first">Olivier</forename>
                    <surname>Guéant</surname>
                  </persName>
                  <email type="md5">8b76035be5d773488b1b4ea647d36490</email>
                  <email type="domain">gmail.com</email>
                  <idno type="idhal" notation="string">olivier-gueant</idno>
                  <idno type="idhal" notation="numeric">10375</idno>
                  <idno type="halauthorid" notation="string">7907-10375</idno>
                  <idno type="IDREF">https://www.idref.fr/124524109</idno>
                  <idno type="ORCID">https://orcid.org/0000-0002-5880-9529</idno>
                  <idno type="VIAF">https://viaf.org/viaf/24937050</idno>
                  <idno type="ISNI">http://isni.org/isni/0000000123200775</idno>
                  <affiliation ref="#struct-7550"/>
                  <affiliation ref="#struct-15080"/>
                </author>
              </analytic>
              <monogr>
                <imprint/>
              </monogr>
              <idno type="arxiv">2106.06974</idno>
              <relatedItem target="https://hal.science/hal-03885137v1" type="IsOriginalFormOf" subtype="http://purl.org/coar/resource_type/c_6501"/>
            </biblStruct>
          </sourceDesc>
          <profileDesc>
            <langUsage>
              <language ident="en">English</language>
            </langUsage>
            <textClass>
              <keywords scheme="author">
                <term xml:lang="en">Dealer markets</term>
                <term xml:lang="en">Market making</term>
                <term xml:lang="en">Algorithmic trading</term>
                <term xml:lang="en">Stochastic optimal control</term>
                <term xml:lang="en">Viscosity solutions</term>
              </keywords>
              <classCode scheme="halDomain" n="qfin.tr">Quantitative Finance [q-fin]/Trading and Market Microstructure [q-fin.TR]</classCode>
              <classCode scheme="halTypology" n="UNDEFINED">Preprints, Working Papers, ...</classCode>
              <classCode scheme="halOldTypology" n="UNDEFINED">Preprints, Working Papers, ...</classCode>
              <classCode scheme="halTreeTypology" n="UNDEFINED">Preprints, Working Papers, ...</classCode>
            </textClass>
            <abstract xml:lang="en">
              <p>In dealer markets, dealers provide prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting task has to be done algorithmically in most markets such as foreign exchange markets or corporate bond markets. Over the last ten years, many mathematical models have been designed that can be the basis of quoting algorithms in dealer markets. Nevertheless, in most (if not all) models, the dealer is a pure internalizer, setting quotes and waiting for clients. However, on many dealer markets, dealers also have access to an inter-dealer market or even public trading venues where they can hedge part of their inventory. In this paper, we propose a model taking this possibility into account, therefore allowing dealers to externalize part of their risk. The model displays an important feature well known to practitioners that within a certain inventory range the dealer internalizes the flow by appropriately adjusting the quotes and starts externalizing outside of that range. The larger the franchise, the wider is the inventory range suitable for pure internalization. The model is illustrated numerically with realistic parameters for USDCNH spot market.</p>
            </abstract>
          </profileDesc>
        </biblFull>
      </listBibl>
    </body>
    <back>
      <listOrg type="structures">
        <org type="institution" xml:id="struct-354452" status="INCOMING">
          <orgName>HSBC</orgName>
          <desc>
            <address>
              <country key="FR"/>
            </address>
          </desc>
        </org>
        <org type="laboratory" xml:id="struct-89626" status="VALID">
          <idno type="IdRef">197373461</idno>
          <idno type="ISNI">000000010944436X</idno>
          <idno type="RNSR">199719340P</idno>
          <idno type="ROR">https://ror.org/012e1xn46</idno>
          <idno type="Wikidata">Q16008922</idno>
          <orgName>Centre de Mathématiques Appliquées de l'Ecole polytechnique</orgName>
          <orgName type="acronym">CMAP</orgName>
          <date type="start">2005-01-01</date>
          <desc>
            <address>
              <addrLine>Route de Saclay, 91128 Palaiseau Cedex</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">https://cmap.ip-paris.fr/</ref>
          </desc>
          <listRelation>
            <relation active="#struct-300009" type="direct"/>
            <relation active="#struct-300340" type="direct"/>
            <relation active="#struct-563936" type="indirect"/>
            <relation name="UMR7641" active="#struct-441569" type="direct"/>
          </listRelation>
        </org>
        <org type="institution" xml:id="struct-7550" status="VALID">
          <idno type="IdRef">027361802</idno>
          <idno type="ISNI">000000012173743X</idno>
          <idno type="ROR">https://ror.org/002t25c44</idno>
          <orgName>Université Paris 1 Panthéon-Sorbonne</orgName>
          <orgName type="acronym">UP1</orgName>
          <desc>
            <address>
              <addrLine>12 place du Panthéon, 75231 Paris Cedex 05</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">https://www.pantheonsorbonne.fr</ref>
          </desc>
        </org>
        <org type="laboratory" xml:id="struct-15080" status="VALID">
          <idno type="IdRef">116552077</idno>
          <idno type="RNSR">200612823S</idno>
          <idno type="ROR">https://ror.org/006shqv80</idno>
          <orgName>Centre d'économie de la Sorbonne</orgName>
          <orgName type="acronym">CES</orgName>
          <date type="start">2006-01-01</date>
          <desc>
            <address>
              <addrLine>Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">https://centredeconomiesorbonne.cnrs.fr/</ref>
          </desc>
          <listRelation>
            <relation name="UMR8174" active="#struct-7550" type="direct"/>
            <relation name="UMR8174" active="#struct-441569" type="direct"/>
          </listRelation>
        </org>
        <org type="institution" xml:id="struct-300009" status="VALID">
          <idno type="ROR">https://ror.org/02kvxyf05</idno>
          <orgName>Institut National de Recherche en Informatique et en Automatique</orgName>
          <orgName type="acronym">Inria</orgName>
          <desc>
            <address>
              <addrLine>Domaine de VoluceauRocquencourt - BP 10578153 Le Chesnay Cedex</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.inria.fr/en/</ref>
          </desc>
        </org>
        <org type="institution" xml:id="struct-300340" status="VALID">
          <idno type="IdRef">027309320</idno>
          <idno type="ISNI">0000000121581279</idno>
          <idno type="ROR">https://ror.org/05hy3tk52</idno>
          <idno type="Wikidata">Q273626</idno>
          <orgName>École polytechnique</orgName>
          <orgName type="acronym">X</orgName>
          <date type="start">1794-03-11</date>
          <desc>
            <address>
              <addrLine>Route de Saclay, 91128 Palaiseau Cedex</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">https://www.polytechnique.edu/</ref>
          </desc>
          <listRelation>
            <relation active="#struct-563936" type="direct"/>
          </listRelation>
        </org>
        <org type="regroupinstitution" xml:id="struct-563936" status="VALID">
          <idno type="IdRef">238327159</idno>
          <idno type="ISNI">0000000502717600</idno>
          <idno type="ROR">https://ror.org/042tfbd02</idno>
          <idno type="Wikidata">Q48759778</idno>
          <orgName>Institut Polytechnique de Paris</orgName>
          <orgName type="acronym">IP Paris</orgName>
          <date type="start">2019-06-02</date>
          <desc>
            <address>
              <addrLine>Route de Saclay, 91120 Palaiseau Cedex, France</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">https://www.ip-paris.fr</ref>
          </desc>
        </org>
        <org type="regroupinstitution" xml:id="struct-441569" status="VALID">
          <idno type="IdRef">02636817X</idno>
          <idno type="ISNI">0000000122597504</idno>
          <idno type="ROR">https://ror.org/02feahw73</idno>
          <orgName>Centre National de la Recherche Scientifique</orgName>
          <orgName type="acronym">CNRS</orgName>
          <date type="start">1939-10-19</date>
          <desc>
            <address>
              <country key="FR"/>
            </address>
            <ref type="url">https://www.cnrs.fr/</ref>
          </desc>
        </org>
      </listOrg>
    </back>
  </text>
</TEI>