Market-making, inventories and martingale pricing
We discuss Shen and Starr(2002) results and show that the bid-ask spread of a monopolistic market-marker doesn't depend on his inventory when he posts ''martingale prices '' in an inventory model with random volumes and an unknown direction of trade.
|Date of creation:||Jun 2002|
|Date of revision:|
|Publication status:||Published in Working Paper du GATE 2002-03. 2002|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00178162|
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- Thomas Ho & Hans Stoll, .
"Optimal Dealer Pricing Under Transactions and Return Uncertainty,"
Rodney L. White Center for Financial Research Working Papers
27-79, Wharton School Rodney L. White Center for Financial Research.
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