Market making with inventory control and order book information
提出一种信号自适应做市算法，利用IPO历史日内价格序列的实证规律和当前风险特征，在高频数据上优于两种现有策略，适用于IPO发行初期的价格支持。
We introduce a new market making algorithm, the Signal-adaptive (SA) strategy, that takes into account the empirical recurrences of the historical intra-day price series of IPOs and the current risk properties addressed by the market maker. Empirical analysis on IPO high-frequency data allows to compare the performance of the SA strategy with two state-of-art competing strategies, suggesting that the SA strategy could be suitable for the price support activity of the IPO in the first days of its issuance.