Optimal Control, Entropy, and Market Making (To Say Nothing of the Quantum Harmonic Oscillator)
Olivier Guéant (LPSM, Université Paris-Cité)
Travelling through several years of academic research on market making models, this talk revisits in a (hopefully) pedagogical manner a decade and a half of research through the lens of optimal control on graphs (i.e. stochastic optimal control on discrete structures). We shed light on the crucial role of entropy and its associated duality in unlocking closed-form results. Moving from theory to practice, we then present recent extensions and real-world applications to foreign exchanges and commodities markets.