منابع مشابه
Bandit Market Makers
We propose a flexible framework for profit-seeking market making by combining cost function based automated market makers with bandit learning algorithms. The key idea is to consider each parametrisation of the cost function as a bandit arm, and the minimum expected profits from trades executed during a period as the rewards. This allows for the creation of market makers that can adjust liquidi...
متن کاملElectronic Market-Makers: Empirical Comparison
Market-makers have been used by global stock exchanges as well as prediction markets to maintain liquidity and orderly price transitions in the financial markets. We use an agent-based model of the financial markets to analyze the behavior of market-makers employing various strategies. We empirically evaluate the performance of the market-makers in the financial market to demonstrate the streng...
متن کاملMatching Plans for Agents with Vertically and Horizontally Differentiated Preferences∗
We develop a location model of price discrimination in many-to-many matching markets in which agents’ preferences are both vertically and horizontally differentiated. The optimal plans induce negative assortative matching at the margin: at any given location, agents with a low value for interacting with agents from the opposite side (the vertical dimension) are included in the matching sets of ...
متن کاملMarket Makers’ S Upply and Pricing of Financial Market Liquidity
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. 2002 Elsevier Science B.V. All rights reserved.
متن کاملPrice leadership in a vertically differentiated market
Article history: Accepted 19 December 2013 Available online xxxx JEL classification: L1 D4 C7
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ژورنال
عنوان ژورنال: Journal of Economics & Management Strategy
سال: 2007
ISSN: 1058-6407,1530-9134
DOI: 10.1111/j.1530-9134.2007.00158.x