Axiomatic Market Making¶
Bibliographic record. Follow the original-source link for the publication.
| Field | Value |
|---|---|
| Primary domain | Unclassified |
| Other domains | — |
| Methods | — |
| Facets | — |
| Authors | Frank M. V. Feys |
| Published | 2026-06-08 |
| Source | arXiv Quantitative Finance History |
| Identifiers | arxiv:2606.09454 |
| URL | Open original source |
Editorial synthesis¶
Why it matters¶
The study seeks to derive a market maker's quoting rule from axioms and separate inventory and adverse-selection contributions to the spread, providing a structural benchmark for interpreting quotes. (abstract:S1, abstract:S2, abstract:S3)
Main author claims¶
- The authors report that eight axioms plus six assumptions on inventory costs imply a three-parameter quoting family with a mid-quote linear in inventory and a spread additively split into inventory and adverse-selection components. (
abstract:S2,abstract:S3) - The authors claim that three distinct moments of the observable quoting rule identify the three parameters independently. (
abstract:S4) - The authors further derive two structural corollaries: recovery of the latent inventory-cost function from the limit order book and a phase transition between functioning and frozen regimes. (
abstract:S6)
Data, method, or discussion scope¶
The supplied material describes uniqueness, parameter identification, structural corollaries, and the core-versus-modular partition of the axioms within the proposed system; it is a summary of theoretical results. (abstract:S3, abstract:S4, abstract:S5, abstract:S6, abstract:S7)
Main limitations¶
The results are conditional on the stated axioms and inventory-cost assumptions, and the abstract provides no market-data validation, so empirical fit of the quoting family cannot be judged here. (abstract:S3, abstract:S7, abstract:S8)
Relationships¶
- None recorded.