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On Optimal Pricing Model for Multiple Dealers in a Competitive Market

In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive market. The dealers' trading intensities, their optimal bid and ask prices and therefore their spreads are derived when the dealers are informed the severity of the competition. The effects of various parameters on the bid-ask quotes and profits of the dealers in a competitive market are also discussed. This study gives some insights on the average spread, profit of the dealers in a competitive trading environment.

preprint2015arXivOpen access
Wai-Ki ChingJia-Wen GuQing-Qing YangTak-Kuen Siu
q-fin.TR
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Open access4 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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Wai-Ki ChingJia-Wen GuQing-Qing YangTak-Kuen Siu

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