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Optimal client recommendation for market makers in illiquid financial products

Abstract:

The process of liquidity provision in financial markets can result in prolonged exposure to illiquid instruments for market makers. In this case, where a proprietary position is not desired, pro-actively targeting the right client who is likely to be interested can be an effective means to offset this position, rather than relying on commensurate interest arising through natural demand. In this paper, we consider the inference of a client profile for the purpose of corporate bond recommendati...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1007/978-3-319-71273-4_14

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Institution:
University of Oxford
Division:
MPLS Division
Department:
Engineering Science
Role:
Author
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Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Role:
Author
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Name:
BNP Paribas Global Markets
Publisher:
Springer Verlag
Host title:
ECML-PKDD 2017: European Conference on Machine Learning and Principles and Practice of Knowledge Discovery
Series:
Lecture Notes in Computer Science
Journal:
ECML PKDD 2017 More from this journal
Volume:
10536
Pages:
166-178
Publication date:
2017-12-30
Acceptance date:
2017-06-22
DOI:
ISSN:
0302-9743 and 1611-3349
ISBN:
9783319712727
Pubs id:
pubs:820548
UUID:
uuid:8feb6a21-05d5-4b47-b2d7-0f321e74c681
Local pid:
pubs:820548
Source identifiers:
820548
Deposit date:
2018-01-25

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