A funding-aware HJB model for perpetual DEX market making improves simulated ETH/BTC performance and reduces inventory risk versus classical Avellaneda-Stoikov.
Optimal high-frequency trading with limit and market orders.Quantitative Finance, 13(1):79–94, 2013
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Funding-Aware Optimal Market Making for Perpetual DEXs
A funding-aware HJB model for perpetual DEX market making improves simulated ETH/BTC performance and reduces inventory risk versus classical Avellaneda-Stoikov.