英文标题：
《On Optimal Pricing Model for Multiple Dealers in a Competitive Market》
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作者：
Wai-Ki Ching, Jia-Wen Gu, Qing-Qing Yang and Tak-Kuen Siu
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最新提交年份：
2015
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英文摘要：
In this paper, the optimal pricing strategy in Avellande-Stoikov\'s for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive market. The dealers\' trading intensities, their optimal bid and ask prices and therefore their spreads are derived when the dealers are informed the severity of the competition. The effects of various parameters on the bid-ask quotes and profits of the dealers in a competitive market are also discussed. This study gives some insights on the average spread, profit of the dealers in a competitive trading environment.
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中文摘要：
本文将Avellande-Stoikov的垄断经销商最优定价策略推广到竞争市场中多个经销商的一般情况。当经销商被告知竞争的严重性时，他们的交易强度、他们的最优买入价和卖出价以及他们的价差就会被推导出来。本文还讨论了在竞争市场中，各种参数对经销商的买卖报价和利润的影响。这项研究提供了一些关于在竞争性交易环境中经销商的平均差价和利润的见解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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