SSRNTrading, Microstructure & Execution
A Simple Theory of Portfolio Market Making
The research derives a closed-form lower bound on trading costs that depends only on return and order-flow covariances, showing that Kyle's lambda achieves optimality for multi-asset liquidity provision.
Featured in No. 139 on 13 Nov 2026 · 4 days after release
- Released
- 9 Nov 2026
- First featured
- No. 139 · 13 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7682027
- Authors
- Andreas Park and Katya Malinova
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).