Market makers' supply and pricing of financial market liquidity

Article, Preprint OPEN
Shen, Pu; Starr, Ross M.;
  • Publisher: eScholarship, University of California
  • Subject: bid-ask spread | Financial markets ; Liquidity (Economics)
    acm: TheoryofComputation_GENERAL

This study models the bid-ask spread in financial markets as a function of asset price variability and order flow. The market-maker is characterized as passively accepting orders to buy and to sell a security at the market's prevailing price (plus or minus half the bid-... View more
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