The Microeconomics of Market Making
研究风险厌恶如何影响证券做市商的定价策略，发现风险厌恶的做市商可能设置比风险中性更小的买卖价差，并强调库存对价差位置和规模的关键作用。
This paper examines the influence of risk aversion on the pricing policies of a market maker for securities. It is shown that a market maker's bid-ask spread can be decomposed into a portion for the known limit orders, a risk-neutral adjustment for expected market orders, and a risk adjustment for market order and inventory value uncertainty. It is dem? onstrated that a risk-averse market maker may set a smaller spread than a risk-neutral specialist. Finally, this paper demonstrates the pervasive role of inventory in affecting both the placement and size ofthe spread.