Market-making, inventories and martingale pricing

Christian At, Laurent Flochel and Patrick Roger
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Laurent Flochel: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique

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Abstract: 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.

Keywords: fourchette des prix; martingale; teneur de marché; bid ask spread; market maker; martingale pricing (search for similar items in EconPapers)
Date: 2002-06
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00178162v1
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Citations: View citations in EconPapers (1)

Published in 2002

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