Using Transport Analogies in OFZ Market-Making

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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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  -