The implementation uses the same settings as in the paper of Avellaneda and Stoikov, it will run 10000 simulations and plot the histogram of profits over simulations, below are results:
- gamma=0.1, sample path, pnl and inventory level, profits histogram.
- Avellaneda, Marco, and Sasha Stoikov. 2008. “High-Frequency Trading in a Limit Order Book.” Quantitative Finance 8 (3): 217–24. https://doi.org/10.1080/14697680701381228.