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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 Sequential-trade model, Glosten–Milgrom model؟

يُعرف أيضًا باسم: sequential-trade model · Glosten--Milgrom model

Definition 4.5 Microstructure and Execution · الفصل 4 — Why There Is a Spread

A sequential-trade model lets traders arrive one at a time to a competitive, risk-neutral liquidity provider who quotes before each arrival and learns from each trade. The Glosten–Milgrom model is the sequential-trade model in which each arrival is informed with probability μ\mu and trades in the direction of the value, or is a noise trader who buys or sells with equal probability, and the provider sets the ask and bid to the expected value conditional on a buy and on a sale.

One arrival of the Glosten–Milgrom model. The provider sees only the direction of the trade; a buy is more likely when the value is high, by , and the ask is the value’s expectation given a buy.
Figure 4.1. One arrival of the Glosten–Milgrom model. The provider sees only the direction of the trade; a buy is more likely when the value is high, by μ\mu, and the ask is the value’s expectation given a buy.
The Glosten–Milgrom spread along a sequence of arrivals, averaged over 400 paths (half with a high value): it starts at and falls as trades reveal the value, faster when more arrivals are informed. Data: mx_spread.gm_learning.
Figure 4.2. The Glosten–Milgrom spread along a sequence of arrivals, averaged over 400 paths (half with a high value): it starts at μ\mu and falls as trades reveal the value, faster when more arrivals are informed. Data: mx_spread.gm_learning.
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