منابع مشابه
Ambiguous Market Making
This paper investigates the impact of informational ambiguity and attitude to it on security prices. Attention is focused on equilibria in which a market maker has an ambiguity in his probability assessment. We show that the equilibrium ambiguous bid-ask spread can be decomposed into the probabilistic spread and an “ambiguity premium/discount” component characterizing the ambiguity aversion/see...
متن کاملHigh Frequency Market Making
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase liquidity because of the presence of market makers, who are willing to trade as counterparties at any time, in exchange for a fee, the bid-ask spread. In this ...
متن کاملAutomated Market Making
1.1 Fundamental Value Fundamental Value (FV) is the intrinsic value of a listed security determined through fundamental analysis without reference to its market value. I assume that at any time point t, bid/ask price of the security fluctuates around its time-t fundamental value. When bid size is significantly larger, i.e., bs >> as, its FV is fairly close to the ask price, as most ask orders a...
متن کاملa study on rate making and required reserves determination in reinsurance market: a simulation
reinsurance is widely recognized as an important instrument in the capital management of an insurance company as well as its risk management tool. this thesis is intended to determine premium rates for different types of reinsurance policies. also, given the fact that the reinsurance coverage of every company depends upon its reserves, so different types of reserves and the method of their calc...
Security analysis and market making
In this paper we analyze the interrelatedness of security analysis and market-making activities. Our results indicate that there exists a bidirectional and positive relation between analyst following and the number of market makers. Using detailed data on analyst and dealer affiliations, we also find that dealers are more likely to make markets in stocks that are tracked by analysts who are aff...
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ژورنال
عنوان ژورنال: Environment and Planning A: Economy and Space
سال: 2015
ISSN: 0308-518X,1472-3409
DOI: 10.1177/0308518x15610950