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Inventory Effects of Two Risk-Averse Market Makers
market microstructure inventory risk-averse market maker coalition
2009/5/7
The inventory positions of two risk-averse market makers are introduced into a Kyle (1985) type batch trading model and the effects analyzed. An equilibrium is defined including participation constra...
Inventory Effects of Two Risk-Averse Market Makers
market microstructure inventory risk-averse market maker coalition
2010/12/7
The inventory positions of two risk-averse market makers are introduced into a Kyle (1985) type batch trading model and the effects analyzed. An equilibrium is defined including participation constrai...