An Analysis of Changes in Specialist Inventories and Quotations
构建了一个动态做市模型，结合库存与信息效应，并用纽约证券交易所专家的库存数据检验模型，发现库存均值回归缓慢，但控制目标库存变化后回归速度加快，报价修正与专家交易负相关、与订单流信息正相关。
ABSTRACT We develop a dynamic model of market making incorporating inventory and information effects. The market maker is both a dealer and an investor, quoting prices that induce mean reversion in inventory toward targets determined by portfolio considerations. We test the model with inventory data from a New York Stock Exchange specialist. Specialist inventories exhibit slow mean reversion, with a half‐life of over 49 days, suggesting weak inventory effects. However, after controlling for shifts in desired inventories, the half‐life falls to 7.3 days. Further, quote revisions are negatively related to specialist trades and are positively related to the information conveyed by order imbalances.