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6
votes
find more information in this consultation paper for Olso Exchange. Moreover, there is not a concensus among exchanges to know if the rules (and especially p and q) should be publicly disclosed or …
answered Oct 16 '16 by lehalle
11
votes
(like the Spanish exchange), the name of the member to whom orders in the queues belong is available. If you want more information, read Market Microstructure in Practice. More specifically on pro-rata …
answered Aug 8 '14 by lehalle
16
votes
The primary quant skill needed to make the market is optimal control (a typical paper is Guéant, O., L, and J. Fernandez-Tapia (2013, September). Dealing with the inventory risk: a solution to the mar …
answered Jun 24 '14 by lehalle