Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10001509240
Persistent link: https://www.econbiz.de/10003781492
Bid and ask reservation prices, posted by market makers on price-driven financial markets, are studied in the framework of the rank-dependent expected utility model. We study the inventory effect and prove that bid (ask) prices are increasing and concave (convex) functions of the quantity to be...
Persistent link: https://www.econbiz.de/10013118428