# Optimal market making with persistent order flow

arXiv: https://arxiv.org/abs/2003.05958 · HTML: https://mlsanity.com/paper/2003.05958/

## Key facts

- Cited by 2 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 12 Mar 2020.

## Built on by (most cited first, 2 of 2)

- [Continuous-Time Reinforcement Learning for Controlled Hawkes Jump-Diffusions](https://mlsanity.com/paper/2608.19151/) (2026)
- [Robust Market Making with Hawkes Order Flow and Price Impact via Adversarial Reinforcement Learning](https://mlsanity.com/paper/2609.22785/) (2026)

## Abstract (arXiv)

noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows. We consider a market model with one market maker and order flows driven by general Hawkes processes. We formulate the market maker's objective as a stochastic control problem. We characterize an optimal control by proving existence and uniqueness of a viscosity solution to the associated Hamilton-Jacobi-Bellman equation. Finally we propose a fully consistent numerical method allowing to implement this optimal strategy in practice.