B-TIER technique
Avellaneda-Stoikov — optimal spread calculation for market makers
100k ft — What is this?
Avellaneda-Stoikov — optimal spread calculation for market makers
50k ft — Why care?
The Avellaneda-Stoikov model solves the stochastic control problem for market making. Calculates optimal bid-ask spread based on volatility, time horizon, and inventory. Foundation of modern HFT market making. DM-bait for code repo.
10k ft — Key takeaways
• Calculates optimal spread, not price direction
• Balances inventory risk vs profit
• Foundation of modern algorithmic market making
5k ft — Tools & techniques
Python
Inventory Management, Optimal Market Making, Stochastic Control, stochastic modeling
1k ft — Deep-dive / try it
The math behind the market. 🧠
The Avellaneda-Stoikov model solves the stochastic control problem for market makers. Instead of predicting price direction, it calculates the optimal spread based on volatility, time, and your current inventory.
🚨 Comment "Spread" for free code repository!
#quantfinance #algorithmictrading #math #econophysics #python
kunal_yadav0924
7w
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