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Regarding unseen liquidity the easiest example would be iceberg order types. So only some percentage of the total interest of the order is visible but depending on the exchange and their priority rules a market order would execute against the entire unseen liquidity of that iceberg if it hit it. More generally, not all limit order interest is shown early in ...


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Model Building I will answer this question from a statistical perspective since that has a definitive answer (under stated assumptions) assumption 1) Suppose that each market-maker applies the same, unknown, spread, $X$ to quote a specific product. assumption 2) Suppose that the uncertainty in the mid-market price of each marker is determined by a normal ...


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