Guo, Bin
[Verfasser:in]
;
Zhang, Wei
[Sonstige Person, Familie und Körperschaft];
Chen, Shu-Heng
[Sonstige Person, Familie und Körperschaft];
Zhang, Yongjie
[Sonstige Person, Familie und Körperschaft]
The Optimal Pricing of Market Maker in a Heterogeneous Agent Economy
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 24, 2015 erstellt
Beschreibung:
In this paper, we extend the classical model, originally built upon the representative agent and the Walrasian market-clearing mechanism, into its heterogeneous-agent and market maker extension, characterized by a market-maker trading mechanism with investors having heterogeneous beliefs of the likely future payoff of a risky security. We then use this extended model to show the optimal determination of the bid and the ask prices and the resultant market trading volume. We analyze how the degree of the heterogeneity of investors' beliefs may affect the endogenously-determined spread and trading volume. We also analyze the risk exposure of the market marker in terms of his market position (inventory), under the condition which he is fully informed of the heterogeneous structure of the investors' beliefs, and under the condition which he is not