medium · Market Microstructure
A dealer in DEF stock uses the Avellaneda-Stoikov model with γ = 0.01, σ^2 = 0.25, and T-t = 0.02. The current midpoint is 100.00.
If the dealer's current inventory is long 200 shares (q = +200), by how much should the dealer shade their quotes below the midpoint?
- 0.005
- 0.02
- 0.10
- 0.01
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