A Microstructural Volatility Model for Market Making

Using microstructural volatility to improve a simple MM strategy.

In the previous article we talked about various microstructural features for market making.

We only briefly went over microstructural volatility as we want to cover that topic in-depth, specifically for market making. This is exactly what we are gonna be doing in this article!

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Table of Content

1. Measures of Microstructural Volatility

2. Baseline Market Making Model

3. Volatility Regimes

4. Discrete Model

5. Continuous Model

6. Final Remarks