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Olivier Guéant (2016) develops optimal market making for multiple correlated assets with tractable approximations. Plain-language intro. Not investment advice.
Takeaway. Real desks quote many correlated names; Guéant's Optimal Market Making scales inventory-aware quoting beyond the single-asset Avellaneda–Stoikov toy with usable approximations.
Optimal Market Making (Olivier Guéant, 2016) is a bridge from one-ticker theory to multi-asset quoting intuition.
Fit for learners: Multi-asset market-making framework with tractable approximations suited to quoting dozens of correlated instruments.
This Hub note is a plain-language intro. Not investment advice. Prior Hub steps: Avellaneda–Stoikov, Guéant–Lehalle inventory risk.
Single-asset MM models ignore hedges and cross-inventory: being long A while short correlated B is not the same risk as long A alone. Pure HJB on a high-dimensional inventory grid explodes.
Read the PDF for the technical programme. Do not deploy approximations blindly.
If you can code a 1D reservation price plot, the next conceptual leap is "what changes with correlation?" This paper names that leap.
Tiny evening exercise: invent two fake mids with correlation ρ; define a quadratic inventory penalty q' Σ q; print the penalty for a few (q1,q2) pairs at ρ=0 vs ρ=0.8—feel why cross terms matter.
Landing: arXiv:1605.01862
Not investment advice. This Hub note is educational only. The paper is research—not a licence to trade, quote, or execute with real capital.
Single course CTA: SoloQuant Academy's Introduction to Python Programming—get comfortable with functions, files, and plots first; then these microstructure PDFs become much less scary.