Market-making in spot precious metals
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The primary challenge of market-making in spot precious metals is navigating the liquidity provided by futures contracts. The exchange-for-physical (EFP) spread, which is the price difference between the futures and the spot, plays a pivotal role and exhibits multiple modes of relaxation corresponding to the diverse trading horizons of market participants. Alexander Barzykin, Philippe Bergault and Olivier Guéant model the EFP spread using a nested Ornstein-Uhlenbeck
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