英文标题：
《Spread, volatility, and volume relationship in financial markets and
  market making profit optimization》
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作者：
Jack Sarkissian
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最新提交年份：
2016
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英文摘要：
  We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of interplay between order liquidity and order impact. When trading volume is small adding more liquidity helps improve price accuracy and reduce spread, but after some point additional liquidity begins to deteriorate price. The model allows to connect the bid-ask spread and high-low bars to measurable microstructural parameters and express their dependence on trading volume, volatility and time horizon. Using the established relations, we address the operating spread optimization problem to maximize market-making profit.
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中文摘要：
我们研究了价差、波动率和交易量之间的关系。我们发现，价差的形成是订单流动性和订单影响之间相互作用的结果。当交易量较小时，增加更多流动性有助于提高价格准确性并减少价差，但在某一点之后，额外的流动性开始恶化价格。该模型允许将买卖价差和高低条与可测量的微观结构参数联系起来，并表达其对交易量、波动性和时间范围的依赖性。利用所建立的关系，我们解决了营业价差优化问题，以实现市场利润最大化。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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