金融交易与市场结构第8课.pptx

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金融交易与市场结构 2014年夏 讲授者:任品 Liquidity Supplier Dealer What’s common Profit motivated Meet the clients demands from both buy and sell sides Facilitate the bi-directional search by temporally becoming the “middle-man” Dealer in financial market Nothing new except the “goods” they are dealing Profit from supplying liquidity/Immediacy Passive trader in nature Broker-Dealer, Register Dealer, voluntary individual dealer A.K.A: market maker, specialists, scalper etc Dealer’s problem-set Setting price Advertise the services to acquire clients Managing inventory Don’t trade with well informed trader Dealer quotation Bid and Ask Quoted/Realized Spread Two sided quotes and asymmetrical aggressiveness Soft/firm quote and size Inside spread Formation of inside spread Attracting order flow By quoting aggressively By showing they are willing to trade large sizes By building reputation of good services By cultivating relationships with clients By paying brokers for order flow Dealer quotation decisions Quantitative questions on: bid/ask price point, quoted spread width and size Deciding factor: Inventories Target inventory vs. Actual inventory Inventory risk Diversifiable Inventory Risk Adverse Selection Risk Market Values Versus Fundamental Value 作业: Would you expect that a dealer’s inventory imbalance would be positively correlated with future price changes? Why and why not? How to control inventories Classroom discussion: If you were the dealer what would be your trading strategy to control inventories? Dealer responses to adverse selection How to trade when facing informed traders How to quote to avoid adverse selection Adverse selection spread component Refuse to deal with well-informed trader Pricing mistakes and how to avoid them Well-informed and poorly informed dealer Two extremities: Doesn’t care about fundamental value at all: scalper Knows the fundamental value very well: essentially value trader Implications: Ability to judge whether their clients are well informed A

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