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• W2000351687 abstract "The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market maker rents. After providing a brief review of past work, this study develops a simple, parsimonious model for the market maker's spread that accounts for the effects of price discreteness induced by minimum tick size, order-processing costs, inventory-holding costs, adverse selection, and competition. The inventory-holding and adverse selection cost components of spread are modeled as an option with a stochastic time to expiration. This inventory-holding premium embedded in the spread represents compensation for the price risk borne by the market maker while the security is held in inventory. The premium is partitioned in such a way that the inventory holding and adverse selection cost components and the probability of an informed trade are identified. The model is tested empirically on a sample of NASDAQ stocks over three distinct tick size regimes and is shown to perform well." @default.
• W2000351687 created "2016-06-24" @default.
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• W2000351687 date "2002-01-01" @default.
• W2000351687 modified "2023-09-26" @default.
• W2000351687 title "Modeling the Bid/ask Spread: Measuring the Inventory-holding Premium" @default.
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• W2000351687 doi "https://doi.org/10.2139/ssrn.336242" @default.
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