This is a code replicating study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008): 217-224.
Our results for 1000 simulations with \gamma = 0.1 give:
| Strateg | Profit | Std (Profit) | Final q | Std (Final q) |
|---|---|---|---|---|
| Inventory | 65.0 | 6.3 | 0.043 | 3.2 |
| Symmetric | 69.0 | 13.7 | 0.04 | 8.4 |
The original results were:
| Strategy | Profit | Std (Profit) | Final q | Std (Final q) |
|---|---|---|---|---|
| Inventory | 65.0 | 6.6 | 0.08 | 2.9 |
| Symmetric | 68.4 | 12.7 | 0.26 | 8.4 |
Plots of mid-price and optimal bid and ask quotes and also of final P&L are attached, as in the original study.