Proceedings of the International Conference on Economics, Management and Technologies 2020 (ICEMT 2020)

Using Transport Analogies in OFZ Market-Making

Authors
Petr P. Bobrik
Corresponding Author
Petr P. Bobrik
Available Online 12 May 2020.
DOI
10.2991/aebmr.k.200509.058How to use a DOI?
Keywords
market-making, OFZ, trading strategy, transport analogies, fixed income markets
Abstract

The article describes the methodology for conducting market-making operations (later MM, the market-maker will also be designated) of Russian government debt securities on the Moscow stock exchange, used in the investment company Univer Capital during 2018-2020. The methodology uses a number of analogies with classical transport problems, where individual papers are considered as points of departure and destination of goods, and the search for an optimal transportation plan is based on the current attractiveness of nodal prices in the network. The methodology allows at any time to calculate the desired portfolio of Federal Loan Obligations (later QFZ) and place orders that satisfy the requirements of MM.

Copyright
© 2020, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the International Conference on Economics, Management and Technologies 2020 (ICEMT 2020)
Series
Advances in Economics, Business and Management Research
Publication Date
12 May 2020
ISBN
10.2991/aebmr.k.200509.058
ISSN
2352-5428
DOI
10.2991/aebmr.k.200509.058How to use a DOI?
Copyright
© 2020, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Petr P. Bobrik
PY  - 2020
DA  - 2020/05/12
TI  - Using Transport Analogies in OFZ Market-Making
BT  - Proceedings of the International Conference on Economics, Management and Technologies 2020 (ICEMT 2020)
PB  - Atlantis Press
SP  - 328
EP  - 331
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200509.058
DO  - 10.2991/aebmr.k.200509.058
ID  - Bobrik2020
ER  -