• Title of article

    Market-makers’ supply and pricing of financial market liquidity

  • Author/Authors

    Pu Shen، نويسنده , , Ross M. Starr، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2002
  • Pages
    6
  • From page
    53
  • To page
    58
  • Abstract
    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.
  • Keywords
    Liquidity , Bid/ ask spread , Order flow , Market-maker , inventory
  • Journal title
    Economics Letters
  • Serial Year
    2002
  • Journal title
    Economics Letters
  • Record number

    434959

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=434959