Struct StationaryAvellaneda 

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

Infinite-horizon Avellaneda-Stoikov market making model in inventory space.

See the module-level documentation for the formulation and exact solution.

Fields

gamma: f64

Risk aversion for inventory holding.

kappa: f64

Order filling intensity decay (kappa).

a: f64

Base order arrival intensity (A).

sigma: f64

Mid-price volatility.

Implementations

impl StationaryAvellaneda

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

Creates a stationary Avellaneda model.

Examples

use solver::models::stationary_avellaneda::StationaryAvellaneda;
let model = StationaryAvellaneda::new(0.1, 1.5, 140.0, 0.1);
assert_eq!(model.gamma, 0.1);

pub fn base_spread(&self) -> f64

The exact base half-spread at zero inventory.

pub fn alpha(&self) -> f64

The alpha diagonal coefficient of the GLT operator.

pub fn eta(&self) -> f64

The eta off-diagonal coefficient of the GLT operator.

Trait Implementations

impl Clone for StationaryAvellaneda

fn clone(&self) -> StationaryAvellaneda

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for StationaryAvellaneda

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl StationaryEigenProblem<1> for StationaryAvellaneda

fn operator(&self, grid: &Grid<1>) -> CsrMatrix

Builds the symmetric operator on grid.