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Models of Dealer Markets

In: Modern Equity Investing Strategies

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  • Anatoly B. Schmidt

Abstract

The following sections are included:IntroductionRisk-Neutral Inventory ModelsGarman’s modelThe Amihud–Mendelson modelRisk AversionInventory Models with Risk AversionInformation-Based ModelsKyle’s modelThe Glosten–Milgrom modelNotes

Suggested Citation

  • Anatoly B. Schmidt, 2021. "Models of Dealer Markets," World Scientific Book Chapters, in: Modern Equity Investing Strategies, chapter 2, pages 25-42, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811239502_0002
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    Keywords

    Portfolio Management; Mean-variance Theory; Portfolio Diversification; Efficient Market Hypothesis; Random Walk; Trading Strategies; Technical Analysis; Statistical Arbitrage; Hedging; Momentum Arbitrage; Alternative Data; Market Sentiment; Opinion Mining; Factor Models; CAPM; APT; Smart Betas; Optimal ESG Portfolio; US Equity Markets; Market Microstructure; Risk Aversion; Optimal Execution; Taker's Dilemma; Back-Testing of Trading Strategies; Price Volatility; Shrinkage Estimator; Black-Litterman Model; Risk Parity; Robust Optimization; Time Series Analysis; Arma Model; Garch Model; Agent-Based Modeling; Fractals;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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