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Intraday Market Making with Overnight Inventory Costs

Tobias Adrian, Agostino Capponi, Michael Fleming, Erik Vogt, and Hongzhong Zhang
Staff Reports, Number 799, October 2016
Revised November 2019

Author Disclosure Statement

Tobias Adrian

I, Tobias Adrian, declare that I have no relevant or material financial interests that relate to the research described in this paper.

Agostino Capponi

I, Agostino Capponi, declare that I have no relevant or material financial interests that relate to the research described in this paper.

Michael Fleming

I, Michael Fleming, declare that I have no relevant or material financial interests that relate to the research described in this paper.

Erik Vogt

I, Erik Vogt, declare that I have no relevant or material financial interests that relate to the research described in this paper.

Hongzhong Zhang

I, Hongzhong Zhang, declare that I have no relevant or material financial interests that are related to the research work described in this paper.

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