The reservation price of a market maker holding is the price at which it is indifferent to its current position and one more or one fewer unit; in the Avellaneda–Stoikov model, approximately
Quantitative Finance · Glosario
Quantitative Finance · Glosario
The reservation price of a market maker holding is the price at which it is indifferent to its current position and one more or one fewer unit; in the Avellaneda–Stoikov model, approximately