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- W1522205311 abstract "Market makers have to continuously set bid and ask quotes for the stocks they have underconsideration. Hence they face a complex optimization problem in which their return, basedon the bid-ask spread they quote and the frequency they indeed provide liquidity, is challenged by the price risk they bear due to their inventory. In this paper, we provide optimalbid and ask quotes and closed-form approximations are derived using spectral arguments." @default.
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- W1522205311 date "2011-09-01" @default.
- W1522205311 modified "2023-10-03" @default.
- W1522205311 title "Dealing with the Inventory Risk" @default.
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