The Optimal Pricing Policy of a Monopolistic Marketmaker in the Equity Market
建立了一个随机优化模型，研究单一做市商在股票市场中的最优定价策略，发现买卖报价随库存递减，价差与库存无关但与订单规模正相关。
ABSTRACT This paper presents a stochastic optimization model for marketmaking in security markets with a single dealer. Buy and sell orders are assumed to arrive at rates that are functions of the ask and bid prices. The dealer incurs both proportional and fixed transaction costs as well as portfolio costs. Methods of dynamic programming and semi‐Markov Decision Processes are used to characterize optimal pricing policies and to perform sensitivity analysis. Both bid and ask prices are nonincreasing functions of the dealer's inventory. Spread is unrelated to inventory position but positively related to order size. Computational examples demonstrate various results.