Liquidity Supply Across Multiple Trading Venues
Lescourret, Laurence and Moinas, Sophie, Liquidity Supply Across Multiple Trading Venues (September 15, 2014). Available for download at SSRN: http://ssrn.com/abstract=2498277 “Market fragmentation and technology have given rise to new trading strategies. One of them is to supply liquidity simultaneously across multiple trading venues, which requires multi-venue management of inventory risk. We build an inventory model in …