Construct · 1 fields · 1 citations

dealer inventory model: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed

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Market microstructure

a model in which a dealer's bid-ask quotes shift with accumulated inventory and return risk, so spreads compensate inventory holding costs.

In market microstructure, dealer inventory model refers to a model in which a dealer's bid-ask quotes shift with accumulated inventory and return risk, so spreads compensate inventory holding costs. This meaning comes from Ho (1981) in Journal of Financial Economics.[1]

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Nearby constructs

holding2 fields · 2 citationsjingle · one word, two constructs inventory1 fields · 2 citationsanchor · a standalone construct market3 fields · 5 citationsjingle · one word, three constructs

References

Ho, T., & Stoll, H. R. (1981). Optimal dealer pricing under transactions and return uncertainty. Journal of Financial Economics, 9(1), 47-73. https://doi.org/10.1016/0304-405x(81)90020-9

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