Avellaneda, Argentina
The Avellaneda cost quantifies the expected hedging expense in optimal market making, derived from the Avellaneda–Stoikov (2008) stochastic control framework. It models the trade-off between inventory risk and adverse selection, where cost scales with asset volatility, risk aversion, and the square of inventory position. Key insights: (1) The cost function is convex and linear in the bid-ask spread, (2) optimal quotes minimize the quadratic variation of inventory via a dynamic Hamilton-Jacobi-Bellman equation, (3) empirical calibrations show cost sensitivity to order flow imbalance and resilience. Expert conclusion: This cost metric underpins modern high-frequency market-making algorithms, enabling systematic execution with controlled inventory risk.
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