PelatihA market maker’s fair price is its estimate, at time , of the efficient price of an instrument from the information it has at : the books of the venues where the instrument trades, the prices of related instruments, and its own recent fills. Quotes are set around it; the gap between a fill’s price and the fair price at the fill is the fill’s expected profit.
Contoh
Example 2.2 (Three estimates of one book)
A book shows 300 shares bid at 99 ticks and 100 offered at 100. The mid is 99.5; the imbalance is 0.75 and the weighted mid 99.75. This chapter’s microprice table, fitted on the first simulated hour with five buckets and a five-second horizon, adds , , , and ticks to the mid for imbalances in , , …, . Here it adds 0.091 and gives 99.59: the data say the weighted mid overstates what the imbalance predicts.