This project studies robust market-making strategies under model misspecification, based on the framework of Cartea, Donnelly & Jaimungal (2017). We extend the original model to include competition among market makers and evaluate the impact of ambiguity aversion on profitability and risk.
- Optimal quoting under ambiguity about drift, order arrival intensity, and fill probabilities.
- Competitive market dynamics with recalibration and tick size constraints.
- Sharpe ratio analysis for various ambiguity parameters.
Harrison Lam, Guillem Ribas, Sergio Leal