solver::analytical::avellaneda::approximations::avellaneda_stoikov

Struct AvellanedaStoikovApprox

pub struct AvellanedaStoikovApprox {
    pub gamma: f64,
    pub sigma: f64,
    pub kappa: f64,
    pub a: f64,
    pub terminal_time: f64,
}

Expand description

The asymptotic approximation (infinite horizon) for the Avellaneda-Stoikov model. Based on the Avellaneda-Stoikov paper (2008) approximation using Taylor expansion.

Reference: Avellaneda, M., & Stoikov, S. (2008). High-frequency trading in a limit order book.

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§gamma: f64§sigma: f64§kappa: f64§a: f64§terminal_time: f64

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impl AvellanedaStoikovApprox

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pub fn new( gamma: f64, sigma: f64, kappa: f64, a: f64, terminal_time: f64, ) -> Self

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pub fn approximate_spreads(&self, t: f64, q: f64) -> (f64, f64)

Avellaneda-Stoikov (2008) approximation for optimal spreads delta_bid = 1/gamma * ln(1 + gamma/kappa) + (1 + 2q) * gamma * sigma^2 * (T - t) / 2 delta_ask = 1/gamma * ln(1 + gamma/kappa) + (1 - 2q) * gamma * sigma^2 * (T - t) / 2

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impl AnalyticalSolution<2> for AvellanedaStoikovApprox

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fn value_function(&self, _t: f64, _state: &[f64; 2]) -> f64

Returns the theoretical value function V(t, state)

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fn optimal_controls(&self, t: f64, state: &[f64; 2]) -> ControlOutput<2>

Returns the optimal controls (intensities/spreads) at (t, state)

Auto Trait Implementations§

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impl UnwindSafe for AvellanedaStoikovApprox

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impl<T> Any for T
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fn borrow_mut(&mut self) -> &mut T

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impl<ST, DT> CastableFrom<ST, Uninit, Uninit> for DT
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impl<T> From<T> for T

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fn from(t: T) -> T

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where U: From<T>,

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fn into(self) -> U

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Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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