FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W141986715> ?p ?o ?g. }

• W141986715 abstract "Financial instruments are bought and sold at a financial market. Marketmakers at a financial market act as intermediaries between the buyer andthe seller of the financial instrument. Market makers have the power toquote the bid price and the ask price. This price-setting process is calledmarket-making. With market maker models this price-setting proces of themarket maker is studied. To create liquidity in the market the market makermust trade immediately if an order arrives. The market maker bears riskbecause he does not have optimal portfolios. To protect himself againstthe losses he quotes the ask price higher than the bid price. The differencebetween the bid price and the ask price is called the bid-ask spread. Themain causes of emergence of bid-ask spread are the fixed costs, the inventorycosts and the adverse selection costs. Fixed costs are costs arising fromorder execution. Inventory costs arise from holding securities in inventory.Adverse selection costs arise from trading with traders who have superiorinformation. In early financial literature the bid-ask spread is modelledwith a regression model. Later market makers models are used to studythe price setting mechanism of the market maker. There are two typesof market makers models: inventory-based models and information-basedmodels. In inventory-based models the behaviour of the market maker asinventory-holder and the inventory cost are studied. In information-basedmodels the adverse selection problem between the market maker and theinformed trader is studied. The informed trader has superior informationthan the market maker, which is why the market maker has adverse selectioncost if he trades with the informed trader. Two examples of informationbased models are the model of Glosten and Milgrom and the Das marketmaker's model. The market maker of Glosten and Milgrom uses Baysianlearning to learn the fundamental value of the underlying security. Themarket maker of Das expands the Glosten and Milgrom model by keepinga probabilistic density distribution of the fundamental value. We studythe market maker's behaviour with a linear pricing strategy and introducea market maker with bid-ask spread location detection and fundamentalvalue approximation capability. We compare the Das market maker withour market maker with the mean of bid-ask spreads method and the sum ofdifferences between the fundamental value and the bid and ask price method." @default.
• W141986715 created "2016-06-24" @default.
• W141986715 creator A5056203994 @default.
• W141986715 date "2012-01-12" @default.
• W141986715 modified "2023-09-26" @default.
• W141986715 title "A new model of a market maker" @default.
• W141986715 cites W1542508151 @default.
• W141986715 cites W1582134358 @default.
• W141986715 cites W1599491685 @default.
• W141986715 cites W1602791231 @default.
• W141986715 cites W1765051938 @default.
• W141986715 cites W1939373734 @default.
• W141986715 cites W1973340530 @default.
• W141986715 cites W1975372592 @default.
• W141986715 cites W1985808284 @default.
• W141986715 cites W1986096635 @default.
• W141986715 cites W1993656759 @default.
• W141986715 cites W2006080853 @default.
• W141986715 cites W2025268472 @default.
• W141986715 cites W2043881376 @default.
• W141986715 cites W2050031929 @default.
• W141986715 cites W2113425147 @default.
• W141986715 cites W2120824918 @default.
• W141986715 cites W2122733781 @default.
• W141986715 cites W2125531201 @default.
• W141986715 cites W2127662037 @default.
• W141986715 cites W2133727275 @default.
• W141986715 cites W2157495061 @default.
• W141986715 cites W2166037216 @default.
• W141986715 cites W2166890233 @default.
• W141986715 cites W2312297414 @default.
• W141986715 cites W3122714593 @default.
• W141986715 cites W41269388 @default.
• W141986715 hasPublicationYear "2012" @default.
• W141986715 type Work @default.
• W141986715 sameAs 141986715 @default.
• W141986715 citedByCount "0" @default.
• W141986715 crossrefType "journal-article" @default.
• W141986715 hasAuthorship W141986715A5056203994 @default.
• W141986715 hasConcept C10138342 @default.
• W141986715 hasConcept C105483948 @default.
• W141986715 hasConcept C106159729 @default.
• W141986715 hasConcept C144133560 @default.
• W141986715 hasConcept C151730666 @default.
• W141986715 hasConcept C162324750 @default.
• W141986715 hasConcept C175444787 @default.
• W141986715 hasConcept C182306322 @default.
• W141986715 hasConcept C183582576 @default.
• W141986715 hasConcept C18991353 @default.
• W141986715 hasConcept C19244329 @default.
• W141986715 hasConcept C2776299251 @default.
• W141986715 hasConcept C2780299701 @default.
• W141986715 hasConcept C2780762169 @default.
• W141986715 hasConcept C32252159 @default.
• W141986715 hasConcept C51926234 @default.
• W141986715 hasConcept C64112148 @default.
• W141986715 hasConcept C76281924 @default.
• W141986715 hasConcept C86803240 @default.
• W141986715 hasConcept C90329073 @default.
• W141986715 hasConceptScore W141986715C10138342 @default.
• W141986715 hasConceptScore W141986715C105483948 @default.
• W141986715 hasConceptScore W141986715C106159729 @default.
• W141986715 hasConceptScore W141986715C144133560 @default.
• W141986715 hasConceptScore W141986715C151730666 @default.
• W141986715 hasConceptScore W141986715C162324750 @default.
• W141986715 hasConceptScore W141986715C175444787 @default.
• W141986715 hasConceptScore W141986715C182306322 @default.
• W141986715 hasConceptScore W141986715C183582576 @default.
• W141986715 hasConceptScore W141986715C18991353 @default.
• W141986715 hasConceptScore W141986715C19244329 @default.
• W141986715 hasConceptScore W141986715C2776299251 @default.
• W141986715 hasConceptScore W141986715C2780299701 @default.
• W141986715 hasConceptScore W141986715C2780762169 @default.
• W141986715 hasConceptScore W141986715C32252159 @default.
• W141986715 hasConceptScore W141986715C51926234 @default.
• W141986715 hasConceptScore W141986715C64112148 @default.
• W141986715 hasConceptScore W141986715C76281924 @default.
• W141986715 hasConceptScore W141986715C86803240 @default.
• W141986715 hasConceptScore W141986715C90329073 @default.
• W141986715 hasLocation W1419867151 @default.
• W141986715 hasOpenAccess W141986715 @default.
• W141986715 hasPrimaryLocation W1419867151 @default.
• W141986715 hasRelatedWork W1516247250 @default.
• W141986715 hasRelatedWork W1579515204 @default.
• W141986715 hasRelatedWork W1581943439 @default.
• W141986715 hasRelatedWork W2010177125 @default.
• W141986715 hasRelatedWork W2031334848 @default.
• W141986715 hasRelatedWork W2107632758 @default.
• W141986715 hasRelatedWork W2113700932 @default.
• W141986715 hasRelatedWork W2142007997 @default.
• W141986715 hasRelatedWork W2238168001 @default.
• W141986715 hasRelatedWork W2242825374 @default.
• W141986715 hasRelatedWork W2267656180 @default.
• W141986715 hasRelatedWork W2403808265 @default.
• W141986715 hasRelatedWork W2580485109 @default.
• W141986715 hasRelatedWork W3087426815 @default.
• W141986715 hasRelatedWork W3121367414 @default.
• W141986715 hasRelatedWork W3122494748 @default.
• W141986715 hasRelatedWork W3122947356 @default.
• W141986715 hasRelatedWork W3129717163 @default.

• next