Dealer Bid‐Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options
利用做市商的交易簿信息，实证检验了做市商定价模型，发现交易价格变化主要由做市商最优报价决定，买卖价差是交易回报的重要解释变量，且库存水平影响报价和交易。
ABSTRACT This paper, utilizing dealer's “trading book” information, presents some empirical evidence supporting the validity of a dealer pricing model. It shows that much of the transaction prices variation may be explained by the specialist's optimal determination of his bid and ask quotes. Furthermore, it demonstrates that the dealer's bid‐ask spread is an important explanatory variable in the observed transaction return. Finally, it indicates that the dealer's inventory level may affect his quotes and thus the transaction prices and order arrivals. The paper provides insights into the relationship between transaction prices and equilibrium prices, which will permit more extensive use of transaction data in empirical investigations. It also provides a better understanding of optimal dealer pricing strategies, suggesting that the proposed empirical model may be used to evaluate a dealer's trading performance.