@prefix dcat: <http://www.w3.org/ns/dcat#> .
@prefix dct: <http://purl.org/dc/terms/> .
@prefix foaf: <http://xmlns.com/foaf/0.1/> .
@prefix vcard: <http://www.w3.org/2006/vcard/ns#> .
@prefix xsd: <http://www.w3.org/2001/XMLSchema#> .

<https://rec.harvest-normandie.data4citizen.com/dataset/oai-hal-hal-00675925v5> a dcat:Dataset ;
    dct:description """
              We extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8 No.3 2008) and Gueant, Lehalle and Fernandez-Tapia ("Dealing with inventory risk", Preprint 2011) to the case of a rather general class of mid-price processes, under either exponential or linear PnL utility functions, and we add an inventory-risk-aversion parameter that penalises the marker-maker if she finishes her day with a non-zero inventory. This general, non-martingale framework allows a market-maker to make directional bets on market trends whilst keeping under control her inventory risk. With this inventory-risk-aversion parameter, the market-maker has not only direct control on her inventory risk but she also has indirect control on the moments of her PnL distribution. Therefore, this parameter can be seen as a fine-tuning of the marker-maker's risk-reward profile. In the case of a mean-reverting mid-price, we show numerically that the inventory-risk-aversion parameter gives the market-maker enough room to tailor her risk-reward profile, depending on her risk budgets in inventory and PnL distribution (especially variance, skewness, kurtosis and VaR). For example, when compared to the martingale benchmark, a market can choose to either increase her average PNL by more than 15\\% and carry a huge risk, on inventory and PNL, or either give up 5\\% of her benchmark PNL to increase her control on inventory and PNL, as well as increasing her Sharpe ratio by a factor bigger than 2.
            """ ;
    dct:identifier "hal-00675925" ;
    dct:issued "2026-05-15T15:59:30.906693"^^xsd:dateTime ;
    dct:language "en" ;
    dct:modified "2026-05-15T15:59:30.906697"^^xsd:dateTime ;
    dct:publisher <https://rec.harvest-normandie.data4citizen.com/organization/cce9db95-46d9-4dc2-84b6-764215d0a002> ;
    dct:title "High-frequency market-making with inventory constraints and directional bets" ;
    dcat:contactPoint [ a vcard:Organization ;
            vcard:fn "CCSD" ] ;
    dcat:distribution <https://rec.harvest-normandie.data4citizen.com/dataset/oai-hal-hal-00675925v5/resource/f739cd07-8b71-408d-b9bf-f1a7b0d25f50> ;
    dcat:keyword "hamilton-jacobi-bellman",
        "high-frequency-trading",
        "infoeu-reposemanticspreprint",
        "inventory-risk",
        "limit-order-book",
        "market-making",
        "mathmath-apmathematics-mathanalysis-of-pdes-mathap",
        "mathmath-ocmathematics-mathoptimization-and-control-mathoc",
        "optimisation",
        "pnl-distribution",
        "preprints-working-papers-",
        "qfincpquantitative-finance-q-fincomputational-finance-q-fincp",
        "qfintrquantitative-finance-q-fintrading-and-market-microstructure-q-fintr",
        "quantitative-finance",
        "stochastic-control" ;
    dcat:landingPage <https://hal.science/hal-00675925> .

<https://rec.harvest-normandie.data4citizen.com/dataset/oai-hal-hal-00675925v5/resource/f739cd07-8b71-408d-b9bf-f1a7b0d25f50> a dcat:Distribution ;
    dct:format "HTML" ;
    dct:issued "2026-05-15T15:59:30.961334"^^xsd:dateTime ;
    dct:modified "2026-05-15T15:59:30.874132"^^xsd:dateTime ;
    dct:title "High-frequency market-making with inventory constraints and directional bets" ;
    dcat:accessURL <https://hal.science/hal-00675925> .

<https://rec.harvest-normandie.data4citizen.com/organization/cce9db95-46d9-4dc2-84b6-764215d0a002> a foaf:Agent ;
    foaf:name "test_moissonnage_selune" .

<https://hal.science/hal-00675925> a foaf:Document .