Win-score promotion gates in aggregator-routed RFQ markets: A two-tier stochastic control model
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摘要
This paper develops a two-tier stochastic control model for RFQ market making where tier A (aggregator) flow is gated by a slowly evolving win-score while tier B provides ungated background flow; the dealer selects size-ladder offsets and optimal quotes are recovered via reduced Hamiltonians and an envelope theorem, producing an adiabatic separation between fast inventory control and slow score dynamics [page::0][page::2][page::3][page::4][page::6].
