AN ANALYSIS OF CHANGES IN SPECIALIST INVENTORIES AND QUOTATIONS

被引：172

作者：

MADHAVAN, A ^{[1
]}

SMIDT, S ^{[1
]}

机构：

[1] CORNELL UNIV,JOHNSON SCH,ITHACA,NY 14853

来源：

JOURNAL OF FINANCE | 1993年 / 48卷 / 05期

关键词：

D O I：

10.2307/2329061

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a dynamic model of market making incorporating inventory and information effects. The market maker is both a dealer and an investor, quoting prices that induce mean reversion in inventory toward targets determined by portfolio considerations. We test the model with inventory data from a New York Stock Exchange specialist. Specialist inventories exhibit slow mean reversion, with a half-life of over 49 days, suggesting weak inventory effects. However, after controlling for shifts in desired inventories, the half-life falls to 7.3 days. Further, quote revisions are negatively related to specialist trades and are positively related to the information conveyed by order imbalances.

引用

页码：1595 / 1628

页数：34

共 29 条

[1] DEALERSHIP MARKET - MARKET-MAKING WITH INVENTORY [J].