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数据检验，发现库存均值回归缓慢，但控制目标库存变化后回归加快，报价修正与专家交易负相关、与订单不平衡信息正相关。
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.