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- W3126042823 abstract "We consider “customised liquidity pools” (CLP), which are trading venues that offer over-the-counter brokerage and dealer services to selected market participants. The dealer activity, whereby two-sided liquidity is offered to a limited pool of clients, shares in common similarities with the market-making problem. The arrival flow of client orders is assumed random. The CLP offers a stream of two-way prices to its clients, which are functions of the amount traded by the client and the CLP holding. The concern is inventory risk, which increases for critically small or large numbers of held positions. The CLP controls its inventory by choosing the size and the skew of its spread, so to encourage, e.g. buy orders instead of sell orders. Furthermore, it can submit limit orders to standard exchanges, of which execution is uncertain, and market orders, which are expensive. In either case, the CLP risks information leakage, which is discouraged by a penalty for trading in standard exchanges. We numerically solve..." @default.
- W3126042823 created "2021-02-01" @default.
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- W3126042823 date "2017-01-01" @default.
- W3126042823 modified "2023-09-23" @default.
- W3126042823 title "Inventory management in customised liquidity pools" @default.
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- W3126042823 doi "https://doi.org/10.1080/23311835.2017.1281594" @default.
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