9
$\begingroup$

I am interested in articles/strategies related to portfolio and inventory management for market makers and to management of order cancellation, updates of order, etc.

Most of the strategies from articles are related to a market maker who quotes only one line (one security). What about those who quotes several lines?

$\endgroup$
2
  • $\begingroup$ Would it be better to delete "and to management of order cancellation, updates of order, etc." from the question or is it ok that broad? $\endgroup$
    – Trajan
    Feb 21, 2019 at 21:24
  • $\begingroup$ what do you mean by "quotes only one/several lines"? One/several lines from what? $\endgroup$
    – develarist
    Nov 15, 2019 at 21:25

1 Answer 1

1
$\begingroup$

I can't provide any papers, but market makers tend to shift pricing by the current inventory they have in that asset. Furthermore they will shift pricing of asset A by the inventory they have in all assets similar to asset A.

The methodology for how much to shift by, whether to shift mid/bid/ask and what constitutes as 'similar' is what the market making firms compete on.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.