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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국경영과학회 Management Science and Financial Engineering Management Science and Financial Engineering Vol.18 No.2
- 발행연도
- 2012.11
- 수록면
- 1 - 4 (4page)
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초록· 키워드
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We study optimal trading strategy of a market maker with stock inventory. Following Avellaneda and Stoikov (2008), we assume the stock price follows a normal distribution. However, we take a constant expected rate of the stock return and assume that the stock volatility is an inverse function of the stock price level. We show that the optimal bid-ask spread of the market maker is wider for a higher expected rate of stock returns.
목차
ABSTRACT
1. INTRODUCTION
2. THE MODEL
3. THE OPTIMAL BID-ASK SPREAD
4. CONCLUSION
REFERENCES
참고문헌 (11)
참고문헌 신청
1. [학술지(정기간행물)] - Avellaneda, M / 2008 / High-Frequency Trading in a Limit Order Book / Quantitative Finance 8 (3) : 217 ~ 224
2. [학술지(정기간행물)] - Biais, B / 2010 / Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq / Management Science 56 (12) : 2237 ~ 2250
3. [학술지(정기간행물)] - Chen, H. / 2000 / The Seven Percent Solution / Journal of Finance 55 (3) : 1105 ~ 1131
4. [학술지(정기간행물)] - Christie, W / 1994 / Why do Nasdaq Market Makers Avoid Odd-Eighth Quotes? / Journal of Finance 49 (5) : 1813 ~ 1840
5. [학술지(정기간행물)] - Copeland, T. E. / 1983 / Information Effects and the Bid-Ask Spread / Journal of Finance 38 (5) : 1457 ~ 1469
2. [학술지(정기간행물)] - Biais, B / 2010 / Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq / Management Science 56 (12) : 2237 ~ 2250
3. [학술지(정기간행물)] - Chen, H. / 2000 / The Seven Percent Solution / Journal of Finance 55 (3) : 1105 ~ 1131
4. [학술지(정기간행물)] - Christie, W / 1994 / Why do Nasdaq Market Makers Avoid Odd-Eighth Quotes? / Journal of Finance 49 (5) : 1813 ~ 1840
5. [학술지(정기간행물)] - Copeland, T. E. / 1983 / Information Effects and the Bid-Ask Spread / Journal of Finance 38 (5) : 1457 ~ 1469
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