medium · Market Microstructure
A market maker using the Avellaneda-Stoikov model is long q = 500 shares.
If the risk aversion γ = 0.0001, volatility σ = 2, and remaining time T-t = 1, by how much will the market maker shade their quote midpoint relative to the market midprice?
- 0.02
- 0.10
- 0.40
- 0.20
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