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| bio | website | |
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| age | ||
| visits | member for | 2 years, 3 months |
| seen | Oct 26 '12 at 21:43 | |
| stats | profile views | 60 |
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May 24 |
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Order submission strategies of a rational market maker? @richardh Intra day short sells (short sells that are netted against a long position before the end of the trading day) are often provided for free by the sponsoring broker. This holds even for a lot of retail brokers. Since the market maker can be assumed to close all his positions by the end of the day short sells are literally free. |
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May 20 |
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Algorithm for the choice of stocks for a equity scalper/market maker to engage in? chris: Yes, I upvoted answers that I felt demonstrated real world hft/quant experience, and most of your answers certainly do. Sorry didn't know that multi-upvoting was discouraged. Won't do that again. |
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May 19 |
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Algorithm for the choice of stocks for a equity scalper/market maker to engage in? Why? Please elaborate :-) |
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May 19 |
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Algorithm for the choice of stocks for a equity scalper/market maker to engage in? chris: Yes, "shares" should have been "stocks". Thanks for notifying I've now s/share/stock/g. English is not my native language :-) |
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May 19 |
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How are dual class shares different from non dual class shares from a market makers' perspective? Maybe I'm missing something but you write "would be more interested in making a market with the higher volatility Bar shares". Doesn't the inventory risk of the market maker increase with volatility. That is, doesn't a rational prefer (ceteris paribus) to make a market in a low volatility asset? |
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May 10 |
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What are some useful approximations to the Black-Scholes formula? I'm aware of the fact that Black-Scholes is a simple "one-liner". I requested approximations to Black-Scholes that are even simpler. I'm ready to give up some accuracy in return for an even simpler function. |
