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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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