Market-makers' supply and pricing of financial market liquidity. (Q1603859)
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scientific article; zbMATH DE number 1768032
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| English | Market-makers' supply and pricing of financial market liquidity. |
scientific article; zbMATH DE number 1768032 |
Statements
Market-makers' supply and pricing of financial market liquidity. (English)
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15 July 2002
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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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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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0.7980509400367737
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0.7896183729171753
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0.7732086181640625
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0.7720515131950378
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0.7641443610191345
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