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Quantitative Finance · शब्दावली

Inventory bound क्या है?

Definition 4.1 Market Making and High-Frequency Trading · अध्याय 4 — Extensions of the Inventory Framework

An inventory bound qˉ\bar q is a hard limit on the market maker’s position: at q=qˉq=\bar q it does not bid, at q=−qˉq=-\bar q it does not offer, so that ∣qt∣≤qˉ|q_t|\le\bar q at all times.

Stationary bid depth against inventory: exact (eigenvector) and closed form, for two running penalties (A=140, k=1.5, inventory within ±20). Data: firm.multimm.
Figure 4.1. Stationary bid depth against inventory: exact (eigenvector) and closed form, for two running penalties (A=140A=140, k=1.5k=1.5, inventory within ±20\pm20). Data: firm.multimm.
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