信息不对称与存货风险的做市商

2016/05/10

Market makers in some financial markets often make offsetting trades and have significant market power. We develop a market making model that captures these market features as well as other important characteristics such as information asymmetry and inventory risk. In contrast to the existing literature, a market maker in our model can optimally shift some trades with some investors to other investors by adjusting bid or ask. As a result, we find that consistent with empirical evidence, expected bid–ask spreads may decrease with information asymmetry and bid–ask spreads can be positively correlated with trading volume.