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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Market-making agent؟

Definition 27.3 Microstructure and Execution · الفصل 27 — Build: an Agent-Based Market

A market-making agent quotes on both sides continuously and manages the inventory its fills leave it with, usually by moving its quotes against that inventory so as to attract the trades that reduce it (inventory skew).

skew (ticks per lot)inventory (lots, root mean square)profit per hour (USD)spread (ticks)
014.5−116-116 (203)1.031
0.14.2448 (98)1.023
0.31.6545 (67)1.024
Table 27.1. The market maker in the calibrated market at three inventory skews, three hours each: the time-weighted root mean square of its inventory, its profit (cash after fees plus the inventory at the last mid) with the standard deviation across hours, and the market’s mean spread. Data: mx_agents.maker_study.
The market maker’s inventory through one hour of the calibrated market, with the same order flow, without skew and with a skew of 0.3 ticks per lot. Without skew it swings from one 20-lot limit to the other. Data: mx_agents.maker_study.
Figure 27.2. The market maker’s inventory through one hour of the calibrated market, with the same order flow, without skew and with a skew of 0.3 ticks per lot. Without skew it swings from one 20-lot limit to the other. Data: mx_agents.maker_study.
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