hard · Market Microstructure
A dealer in ABC stock maintains a target inventory of zero. Currently, the dealer is long 5,000 shares.
If the dealer uses a quote shading parameter of κ = 0.00004 and the current market midpoint is $30.05, what will the dealer's new bid be if they maintain a $0.10 spread?
- $29.80
- $29.95
- $30.20
- $30.00
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