Quantcast – a Risk.net Cutting Edge podcast cover image

Barzykin and Guéant – 28/03/23

Quantcast – a Risk.net Cutting Edge podcast

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The Effects of a Multi Currency Model on Market Making

The optimal quotes reflected a subtle balance between volatility and liquidity. Even if you have no inventory, of course, our optimal quotes also depend on the inventory of the portfolio. And, but I believe qualitatively that the spread of the cross should be lower than the sum of the experts for positively correlated currency pairs. It sounds intuitive. The question is more like by how much.

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