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Ultra Low Latency High Frequency Market Making: A Comprehensive Analysis of the Avellaneda-Stoikov Framework with Order Flow Imbalance Enhancement
This article presents an exhaustive examination of an institutional-grade market making system that combines the seminal Avellaneda-Stoikov optimal market making model with Order Flow Imbalance signals to achieve consistent risk-adjusted returns while maintaining sub-microsecond processing latencies.
Bryan Downing
2 days ago20 min read
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