Modeling the bid/ask spread: measuring the inventory-holding premium

Article Abstract:

The model of the market bid/ask spread, which includes the effects of price discreteness caused by minimum tick size, order-processing costs, inventory-holding costs, adverse selection costs and competition is studied. The inventory-holding premium represents compensation for the price risk that the market maker has to face.

Cost benefit analysis, Pricing policies

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Payment for order flow

Article Abstract:

The development of a dynamic model of price competition in dealer and broker markets is discussed. The study concludes that payment for order flow redistributes from liquidity demanding traders to those who supply it.

United States, Price-earnings ratio, Price earnings ratio

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A closing call's impact on market quality at Euronext Paris

Article Abstract:

The effects of innovation on market quality are analyzed. The improvements in the market quality at market openings are also observed.

France, Product quality, Financial Systems & Controls, Financial Management, Quality management

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