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- W4251379508 abstract "We develop a dynamic model of market making incorporating inventory and information effects. The market maker is both a dealer and an investor, quoting prices that induce mean reversion in inventory toward targets determined by portfolio considerations. We test the model with inventory data from a New York Stock Exchange specialist. Specialist inventories exhibit slow mean reversion, with a half-life of over 49 days, suggesting weak inventory effects. However, after controlling for shifts in desired inventories, the half-life falls to 7.3 days. Further, quote revisions are negatively related to specialist trades and are positively related to the information conveyed by order imbalances." @default.
- W4251379508 created "2022-05-12" @default.
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- W4251379508 date "1993-12-01" @default.
- W4251379508 modified "2023-09-26" @default.
- W4251379508 title "An Analysis of Changes in Specialist Inventories and Quotations" @default.
- W4251379508 doi "https://doi.org/10.2307/2329061" @default.
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