hard · Market Microstructure
In the Avellaneda-Stoikov model, a market maker has a symmetric half-spread of $0.20 and an inventory shift of $0.01 per share.
If the current midpoint is $100 and the market maker is long 200 shares, what is their optimal bid price?
- $99.79
- $99.81
- $100.19
- $99.80
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