The Future of Currency Pairs

Olivier Beluire: I had worked a lot in the past on this available and historic of paper. We have used stochastic optimal control framework, essentially merging node-to-see market making model. In addition, we have analyzed the typical client flow signatures that could be observed in the market with different trading sizes and tiers. This model allows us to determine optimal hedging rate as functions of inventory, a function of risk aversion, and of course market-driven parameters.