Struct AvellanedaGueant 

pub struct AvellanedaGueant {
    pub gamma: f64,
    pub sigma: f64,
    pub kappa: f64,
    pub a: f64,
}

The asymptotic approximation (infinite horizon) for the Avellaneda-Stoikov model. Based on the Gueant-Lehalle-Tapia closed-form solution.

Reference: Guéant, O., Lehalle, C. A., & Tapia, J. (2013). Dealing with the inventory risk: a solution to the market making problem.

Fields

gamma: f64

sigma: f64

kappa: f64

a: f64

Implementations

impl AvellanedaGueant

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

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

Guéant-Lehalle-Tapia closed-form approximation for optimal spreads.

This approximation assumes infinite time horizon ($T \to \infty$) and small spreads, providing a stationary strategy that depends on inventory $q$ but not time $t$.

The spreads are symmetric around the mid-price, shifted by inventory: $\delta^\pm(q) \approx \text{RiskNeutral} \pm \text{InventorySkew} \cdot q$

Reference: Guéant, O., Lehalle, C. A., & Tapia, J. (2013). Dealing with the inventory risk.

Trait Implementations

impl AnalyticalSolution<2> for AvellanedaGueant

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

Returns the theoretical value function V(t, state)

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

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