Imperial College London
Professor Harry Zheng

ProfessorHarryZheng

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8539h.zheng Website

 
 
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Location

 

6M16Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Choi:2021:10.1016/j.jedc.2021.104098,
author = {Choi, SE and Jang, HJ and Lee, K and Zheng, H},
doi = {10.1016/j.jedc.2021.104098},
journal = {Journal of Economic Dynamics and Control},
pages = {1--25},
title = {Optimal market-Making strategies under synchronised order arrivals with deep neural networks},
url = {http://dx.doi.org/10.1016/j.jedc.2021.104098},
volume = {125},
year = {2021}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - This study investigates the optimal execution strategy of market-making for market and limit order arrival dynamics under a novel framework that includes a synchronised factor between buy and sell order arrivals. Using statistical tests, we empirically confirm that a synchrony propensity appears in the market, where a buy order arrival tends to follow the sell order’s long-term mean level and vice versa. This is presumably closely related to the drastic increase in the influence of high-frequency trading activities in markets. To solve the high-dimensional Hamilton–Jacobi–Bellman equation, we propose a deep neural network approximation and theoretically verify the existence of a network structure that guarantees a sufficiently small loss function. Finally, we implement the terminal profit and loss profile of market-making using the estimated optimal strategy and compare its performance distribution with that of other feasible strategies. We find that our estimation of the optimal market-making placement allows significantly stable and steady profit accumulation over time through the implementation of strict inventory management.
AU  - Choi,SE
AU  - Jang,HJ
AU  - Lee,K
AU  - Zheng,H
DO  - 10.1016/j.jedc.2021.104098
EP  - 25
PY  - 2021///
SN  - 0165-1889
SP  - 1
TI  - Optimal market-Making strategies under synchronised order arrivals with deep neural networks
T2  - Journal of Economic Dynamics and Control
UR  - http://dx.doi.org/10.1016/j.jedc.2021.104098
UR  - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000702446100010&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
UR  - https://www.sciencedirect.com/science/article/pii/S0165188921000336?via%3Dihub
UR  - http://hdl.handle.net/10044/1/92102
VL  - 125
ER  -
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