Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost.
Jonathan A. Chávez CasillasJosé E. Figueroa-LópezChuyi YuYi ZhangPublished in: SIAM J. Financial Math. (2024)
Keyphrases
- total cost
- optimal strategy
- raw material
- expected cost
- holding cost
- inventory policy
- customer demand
- setup cost
- lot size
- fixed cost
- inventory control
- optimal production
- optimal cost
- budget constraints
- allocation policy
- optimal solution
- minimum cost
- production cost
- lead time
- decision making
- single product
- service level
- lot sizing
- optimal control
- pricing strategies
- cost sensitive
- dynamic programming
- dynamic pricing
- state dependent
- optimal pricing
- supply chain
- average cost
- production capacity
- trading strategies
- joint replenishment
- single item
- adaptive strategies
- market conditions
- multi echelon
- periodic review
- order quantity
- trading agents
- lost sales
- planning horizon
- arrival rate
- infinite horizon