3 ms·
The only agent the spread matters to is the HFT and a market maker so it’s a circular reasoning. Similar for liquidity provision; most of the optimal control t
by mrcode007 2y ago
The only agent the spread matters to is the HFT and a market maker so it’s a circular reasoning.
Similar for liquidity provision; most of the optimal control theory solutions for market making with alpha signal will widen the spread and remove liquidity the moment they sense something is off.
- bryanlarsen 2y agoIf I buy a stock and sell it three years later, my profit is reduced by the spread. If the spread is 5% that might be a significant portion of my profit.
- mrcode007 2y agoYou’ll trigger a circuit breaker before you get a spread of 5%