论文标题
处理FX现金市场中的多货币库存风险
Dealing with multi-currency inventory risk in FX cash markets
论文作者
论文摘要
在FX现金市场中，做市商为客户提供各种货币对的流动性。由于流动不确定性和市场波动，他们面临库存风险。为了减轻这种风险，他们通常会偏向价格，以吸引或转移与同行的流量并在市场上交易者之间的交易，以进行对冲目的。本文为FX经销商提供了一个数学框架，愿意在控制其库存风险的同时最大化其预期利润。提出了近似技术，使框架可扩展到任何数量的货币对。
In FX cash markets, market makers provide liquidity to clients for a wide variety of currency pairs. Because of flow uncertainty and market volatility, they face inventory risk. To mitigate this risk, they typically skew their prices to attract or divert the flow and trade with their peers on the dealer-to-dealer segment of the market for hedging purposes. This paper offers a mathematical framework to FX dealers willing to maximize their expected profit while controlling their inventory risk. Approximation techniques are proposed which make the framework scalable to any number of currency pairs.
