Intraday market making with overnight inventory costs
Year of publication: |
2016
|
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Authors: | Adrian, Tobias ; Capponi, Agostino ; Vogt, Erik ; Zhang, Hongzhong |
Publisher: |
New York, NY : Federal Reserve Bank of New York |
Subject: | market microstructure | market liquidity | high-frequency trading | financial intermediation |
Series: | Staff Report ; 799 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 874152461 [GVK] hdl:10419/175207 [Handle] RePEc:fip:fednsr:799 [RePEc] |
Classification: | G12 - Asset Pricing ; G17 - Financial Forecasting ; G01 - Financial Crises |
Source: |
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