Marco Avellaneda, SASHA F. STOIKOV
Abstract
The role of a dealer in securities markets is to provide liquidity on the exchange by quoting bid and ask prices at which he is willing to buy and sell a specific quantity of assets. Traditionally,...
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The role of a dealer in securities markets is to provide liquidity on the exchange by quoting bid and ask prices at which he is willing to buy and sell a specific quantity of assets. Traditionally,...
Key concepts: High-frequency trading, Limit (mathematics), Order (exchange), Order book, Economics, Financial economics, Algorithmic trading, Econometrics