文章基本信息

标题：Strategic Market Making and Risk Sharing
本地全文：下载
作者：Hervé Boco ; Laurent Germain ; Fabrice Rousseau 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2017
卷号：07
期号：01
页码：144-179
DOI：10.4236/jmf.2017.71008
语种：English
出版社：Scientific Research Publishing
摘要：We analyze the result of allowing a risk averse trader to split his order among risk averse market makers. We find that the market makers’ aggregate expected utility of profit can increase with the number of market markers and that the aggregate liquidity always increases with it. Despite this latter finding, we show that the cost of trading for the traders increases with the number of market makers as measured by their aggregate expected utility of profit. The larger the market makers’ risk aversion, the bigger that cost is. We also find that when the number of market makers tends to infinity, their aggregate expected utility of profit tends to zero. We also obtain that the market makers’ individual and aggregate expected utility of profit can increase with their risk aversion and that the trader’s expected utility of profit can increase or decrease with the market makers’ risk aversion. We offer a potential answer to the ongoing debate concerning the dealers’ competitiveness. Indeed, risk aversion reduces competition between market makers as it acts as a commitment for market makers to set higher prices. This commitment is higher the higher the risk aversion.
关键词：Risk Aversion;Strategic Market Makers;Strategic Traders;Splitting Orders