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Market-makers' supply and pricing of financial market liquidity. - MaRDI portal

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Market-makers' supply and pricing of financial market liquidity. (Q1603859)

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scientific article; zbMATH DE number 1768032
Language Label Description Also known as
English
Market-makers' supply and pricing of financial market liquidity.
scientific article; zbMATH DE number 1768032

    Statements

    title
    Market-makers' supply and pricing of financial market liquidity. (English)
    0 references
    author
    Pu Shen
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    Ross M. Starr
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    publication date
    15 July 2002
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    review text
    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.
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    zbMATH Keywords
    Liquidity
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    Bid/ask spread
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    Order flow
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    Market-maker
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    Inventory
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    Identifiers

    Mathematics Subject Classification ID
    91B26
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    91B24
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    90B05
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    zbMATH DE Number
    1768032
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    OpenAlex ID
    W3124192828
    0 references
     
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