Market-makers' supply and pricing of financial market liquidity

被引：26

作者：

Shen, P

Starr, RM

机构：

[1] Fed Reserve Bank Kansas City, Dept Res, Kansas City, MO 64198 USA

[2] Univ Calif San Diego, San Diego, CA 92103 USA

来源：

ECONOMICS LETTERS | 2002年 / 76卷 / 01期

关键词：

liquidity; bid/ask spread; order flow; market-maker; inventory;

D O I：

10.1016/S0165-1765(02)00029-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2002 Elsevier Science B.V. All rights reserved.

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收藏

页码：53 / 58

页数：6

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