Cartea, Álvaro; Chang, Patrick; Mroczka, Mateusz; … - 2022
Providing liquidity in over-the-counter markets is a challenging under-taking, in large part because a market maker … trader's overall liquidity demand is. Optimal pricing strategies can be derived in theory assuming full knowledge of the … used by liquidity providers to dynamically set spreads using only information that is commonly available to them. We also …