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You kind of answered the question yourself. Precisely because different market participants use different inputs to their pricing models, it is much easier to quote one single input (implied vols) than the output of 5 different inputs (BS option price). What is important is that you clearly differentiate between quoting and agreeing on the trade vs. the ...

4

With respect to what you need, you have to consider different aspects of optimal trading: the Almgren-Chriss framework (cited by Anna, since Jim and Alex -amongst others- extended it) focus on obtaining an optimal trading rate, it is nice but not really what you need. You can nevertheless use it to plan / schedule your trading during the day. but what you ...

3

It is possible to think of a strategy for splitting orders for one large sell over time as a function $x_t$ which describes how much to sell at each timestep $t$. If the instantaneous trading rate $\dot{x_t}$ is too large, i.e. too much is sold at once you get immediate impact which is bad. If selling takes too much time, there is the risk of negative price ...

2

This is an example of minimum price variation (also known as the minimum price increment or the minimum price fluctuation). All public quotes for US equities are displayed to the nearest penny. (Hidden quotes may be entered at sub-penny increments.) US stock indices follow this convention and thus quote to the nearest penny. The oil listing is odd indeed. ...

1

I can speak from experience that options with next to no volume and ridiculously large spreads have market makers that accept nothing short of 5% effective spreads, right below liquidation value for deep in the money, and quickly nothing for out of the money. Also, the parameters should be expected to move against your fund flows very quickly. I've found ...

1

They are both just partial reflections (not including the order book) of the real process that happens in exchange. If you want to answer the question yourself, it's essential to learn how Exchange's Matching Engines work. The real underlying information is what enters into the matching engine (what traders send to it). For the sake of simplicity, there are ...

1

These are two separate and distinct pieces of data. The relative "advantage" or "disadvantage" of one over another is entirely up to you and your model, not some rule of thumb. Each data set provides "one half", if you will, of the view of the market. Quotes tell you what passive participants are willing to do. They are, in effect, an indication of interest ...

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