Avellaneda Stoikov

> PARAMETERS

[CONFIG]

Risk Aversion (γ) 0.1

Controls inventory risk penalty. Higher values force inventory closer to zero.

Volatility (σ) 0.20

Annualized volatility of the asset price process.

Drift (μ) 0.00

Drift rate of the asset price (trend).

Time Horizon (T) 1.0000

Total duration of the trading session (fraction of year, e.g., 1.0 = 1 year).

Intensity param (k) 1.5000

Decay rate of order arrival intensity vs. spread distance.

Intensity param (A) 140.0000

Base order arrival intensity at mid-price.

Initial Price ($) 100.00

Starting mid-price of the asset.

Steps 200

Number of discrete time steps in the simulation.

/ ANALYZING_STRATEGY...

Model Definition: The Avellaneda Stoikov (A-S):

r(s,t) = s - qγσ²(T-t)
δ(t) = (2/γ)ln(1 + γ/κ) + γσ²(T-t)

Its closed-form solution yields Optimal Quotes that quantify sensitivity to market microstructure: q (inventory skew), γ (risk aversion), σ (volatility), and κ (order flow liquidity).

Ready to Simulate

> Configure A-S parameters on left sidebar
> Click "Run Simulation" to see the market making strategy in action.