非流动性金融产品做市商的最优客户推荐
Optimal client recommendation for market makers in illiquid financial products
摘要：
金融市场的流动性供给过程可能导致做市商长期接触非流动性工具。在这种情况下，如果不希望拥有专有地位，那么积极主动地瞄准可能感兴趣的正确客户可能是抵消这种地位的有效手段，而不是依赖于通过自然需求产生的相应兴趣。在本文中，我们考虑的推断客户档案的目的，公司债券推荐，根据典型的记录信息提供给做市商。鉴于公司债券交易和债券元数据的历史记录，我们使用主题建模类比来开发一种概率技术，用于为需要交易的特定债券编制客户推荐的精选列表，并按兴趣概率进行排名。我们发现，一个模型的基础上潜在的狄利克雷分配提供了有前途的性能，提供相关的建议，销售交易员。
英文摘要：
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 recommendation, based on typical recorded information available to the market maker. Given a historical record of corporate bond transactions and bond meta-data, we use a topic-modelling analogy to develop a probabilistic technique for compiling a curated list of client recommendations for a particular bond that needs to be traded, ranked by probability of interest. We show that a model based on Latent Dirichlet Allocation offers promising performance to deliver relevant recommendations for sales traders.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
