Before revision: This paper provides the optimal position management strategy for a market maker who has to face uncertain customer orders in an "illiquid " market, where the market maker's continuous trading through a traditional exchange incurs stochastic linear price impacts.
After revision: This paper provides the optimal position management strategy for a market maker who has to face uncertain customer order flows in an illiquid market, where the market maker's continuous trading through a traditional exchange incurs stochastic linear price impacts.