Market Makers’ S Upply and Pricing of Financial Market Liquidity
نویسنده
چکیده
The bid /ask spread (inverse of liquidity) in turbulent financial markets—modeled theoretically—adjusts to market-makers’ average costs. Market liquidity declines (spread increases) with increasing absolute value of market-makers’ security inventories and volatility of security price and order flow. 2002 Elsevier Science B.V. All rights reserved.
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