Using Transport Analogies in OFZ Market-Making
Petr P. Bobrik
Petr P. Bobrik
Available Online 12 May 2020.
- 10.2991/aebmr.k.200509.058How to use a DOI?
- market-making, OFZ, trading strategy, transport analogies, fixed income markets
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.
- © 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 -