IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789811239502_0002.html
   My bibliography  Save this book chapter

Models of Dealer Markets

In: Modern Equity Investing Strategies

Author

Listed:
  • Anatoly B. Schmidt

Abstract

The following sections are included:IntroductionRisk-Neutral Inventory ModelsGarman’s modelThe Amihud–Mendelson modelRisk AversionInventory Models with Risk AversionInformation-Based ModelsKyle’s modelThe Glosten–Milgrom modelNotes

Suggested Citation

  • Anatoly B. Schmidt, 2021. "Models of Dealer Markets," World Scientific Book Chapters, in: Modern Equity Investing Strategies, chapter 2, pages 25-42, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789811239502_0002
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789811239502_0002
    Download Restriction: Ebook Access is available upon purchase.

    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789811239502_0002
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Portfolio Management; Mean-variance Theory; Portfolio Diversification; Efficient Market Hypothesis; Random Walk; Trading Strategies; Technical Analysis; Statistical Arbitrage; Hedging; Momentum Arbitrage; Alternative Data; Market Sentiment; Opinion Mining; Factor Models; CAPM; APT; Smart Betas; Optimal ESG Portfolio; US Equity Markets; Market Microstructure; Risk Aversion; Optimal Execution; Taker's Dilemma; Back-Testing of Trading Strategies; Price Volatility; Shrinkage Estimator; Black-Litterman Model; Risk Parity; Robust Optimization; Time Series Analysis; Arma Model; Garch Model; Agent-Based Modeling; Fractals;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789811239502_0002. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.