Search Results - subject:"Inventory Risk"

Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul - 2021

predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are …

Persistent link: https://www.econbiz.de/10012619494

The overnight drift

Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul - 2021 - Revised September 2021

predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are …

Persistent link: https://www.econbiz.de/10012170744

The price impact of CDS trading

Gündüz, Yalin; Nasev, Julia; Trapp, Monika - 2013

traders adjust the premium more for transactions with higher inventory risk. Third, trading with buy-side investors who …

Persistent link: https://www.econbiz.de/10010313126

The price impact of CDS trading

Gündüz, Yalin; Nasev, Julia; Trapp, Monika - Deutsche Bundesbank - 2013

traders adjust the premium more for transactions with higher inventory risk. Third, trading with buy-side investors who …

Persistent link: https://www.econbiz.de/10010984735

The price impact of CDS trading

Gündüz, Yalin; Nasev, Julia; Trapp, Monika - Institut für Finanzmarktforschung, Wirtschafts- und … - 2013

trader adjusts the premium more for transactions with higher inventory risk. Third, we show that the trader adjusts the …

Persistent link: https://www.econbiz.de/10010984853

The price impact of CDS trading

Gündüz, Yalın; Nasev, Julia; Gehde-Trapp, Monika - 2013

traders adjust the premium more for transactions with higher inventory risk. Third, trading with buy-side investors who …

Persistent link: https://www.econbiz.de/10009751104

High-frequency market-making with inventory constraints and directional bets

Fodra, Pietro; Labadie, Mauricio - HAL - 2012

utility functions, and we add an inventory-risk-aversion parameter that penalises the marker-maker if she finishes her day … trends whilst keeping under control her inventory risk. With this inventory-risk-aversion parameter, the market-maker has not … only direct control on her inventory risk but she also has indirect control on the moments of her PnL distribution …

Persistent link: https://www.econbiz.de/10009652118

Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Guilbaud, Fabien; Pham, Huyên - HAL - 2012

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse...

Persistent link: https://www.econbiz.de/10010548432

Optimal High Frequency Trading with limit and market orders

Guilbaud, Fabien; Pham, Huyen - HAL - 2011

We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the tick-time clock. We consider a small agent who...

Persistent link: https://www.econbiz.de/10009147925

Price pressures

Hendershott, Terrence; Menkveld, Albert J. - 2010

We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange intermediary data reveal economically large price pressures. A...

Persistent link: https://www.econbiz.de/10010303739