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[PENDING] High-frequency market-making with inventory constraints and directional bets

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Figure 1. Simulation of the market-making strategy under a mean-reverting mid-price dynamic with (asymptotic) mean µ = 0.98
Figure 2. Simulation for µ = 1.00.
Figure 3. Simulation for µ = 1.02.
Table 1B. Statistics of the PnL distribution. µ = 0.98, η = 0.0001.
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