hard · Market Microstructure spread-econ
An HFT market maker is long 500 shares. According to the Avellaneda-Stoikov model, how will the market maker adjust their quotes relative to the current midprice of $100.00 to manage this inventory?
- The market maker remains at $99.98 × $100.02 to capture the maximum spread
- Widen the spread without shifting the midpoint
- Shift the midpoint of the quotes downward (e.g., $99.95 × $100.05)
- Shift the midpoint of the quotes upward (e.g., $100.05 × $100.15)
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