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Quantitative Finance · Glosarium

Apa itu Market-making agent?

Definition 27.3 Microstructure and Execution · Bab 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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