I am undergoing a focused study of market making theory. So far, I've encountered the following papers: Market Making and Mean Reversion Adapting to a Market Shock: Optimal Sequential Market-Making ...
After the Knight Capital incident, I decided to read into the new Rule 107C that NYSE pushed-out August 1st for a one-year pilot. From what I've read, Knight claims that new code rolled out for this ...
In reading about the various practices and strategies of high frequency traders, one of the most mysterious to me is "fleeting orders," or orders that are cancelled almost immediately after they are ...
Consider a market maker that has decided to try to make a round-trip trade in stock A in order to capture the bid-ask spread. Assume furthermore that he has no current inventory in the stock A. To ...
Assume a scalper/market maker who is operating on an exchange with $N$ stocks with different characteristics such as current market value, average bid-ask spread, average daily volume and historical ...
Assume a stock Foo with a single share class. Furthermore, assume a dual class stock Bar with classes I and II with different voting rights. The shares in the different classes have equal cash flow ...