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AS做市商策略是什么?

AS做市商策略是一种在金融市场中通过提供买卖报价来维持市场流动性的策略。以下是一些关键要点:

  1. 风险管理:做市商需要管理库存风险(Inventory Risk),这涉及到在市场波动中持有资产的风险。风险系数(gamma γ)通常为非负值,反映了风险厌恶程度。

  2. 报价策略:做市商通过设置买卖价差(spread)来实现盈利。价差通常围绕中间价格(mid_price)对称设置,即买入价和卖出价的差异相等。

  3. 流动性提供:做市商通过在市场中提供买卖订单来增加流动性,缩小买卖价差(spread),从而吸引更多交易。

  4. 市场影响:大额订单可能导致市场价格波动,因此做市商需要考虑市场影响和信息泄露的风险。

  5. 自动化和算法:现代做市商策略通常依赖于高频交易和算法来快速响应市场变化,优化报价和库存管理。

  6. 去中心化交易所(DEX)中的AMM:在去中心化交易所中,自动做市商(AMM)算法被广泛使用。AMM通过数学公式(如x*y=k)来平衡流动性池中的代币供需关系。

  7. 挑战和风险:做市商面临的挑战包括市场波动、流动性风险、信息不对称(Adverse Selection)等。

通过有效实施这些策略,做市商可以在提供市场流动性的同时实现盈利。然而,市场环境的变化和技术的进步也要求做市商不断调整和优化其策略。

- RESOURCES -

Avellaneda & Stoikov’s market-making strategy 工程化处理_as模型的做市策略-CSDN博客

文章浏览阅读5.2k次,点赞4次,收藏11次。前2篇文章详细介绍了AS存货模型的做市策略,这次对于这些公式里面一些希腊字母的取值是如何计算的,如何做工程化并应用到生产环境中做一些说明。这个里面有一些重要参数:很直观,可以直接取值的有:s = current market mid price (中间价,也就是【最佳卖价+最佳买价】/2)q = quantity of assets in inventory of base asset (也就是买入多少价值的股票数量)_as模型的做市策略......

blog.csdn.net

高频交易,足矣!_手机新浪网

高频交易,足矣!_手机新浪网

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finance.sina.cn

祛魅做市商. FTX… | by DODO | DODO

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做市是一种既定的、成熟的金融实践,在这个过程中,做市商为市场提供流动性和深度,买卖双方不需等待交易对手出现,只要有做市商出面承担交易对手方即可达成交易,做市商从双方赚取买卖价差而从中获利。这里说的市场上买价和卖价之间的差值就是点差(Bid-Ask Spread),点差是做市商主要的获利方式(也可以通过交易平台返佣,交易平台会给一些专门做市商付费以增加交易量、提升利润)。…......

blog.dodoex.io

跨越牛熊周期的隐士:加密做市商. 作者:[火必研究院] stefanie | by HTX Research | Medium

跨越牛熊周期的隐士:加密做市商. 作者:[火必研究院] stefanie | by HTX Research | Medium

传统金融做市商业务从19世纪初期开始萌芽,到现在呈现出发展成熟、交易品种多元、业务和收益相对稳定的特点。做市商作为金融市场上重要的参与者,在提供市场流动性和市场效率方面发挥了其独特的作用。随着市场规模的不断扩大,越来越多的机构和投行也加入了做市业务,并成为其重要的收入来源。整体市场做市业务也向头部聚集,竞争激烈。为了抢占市场和客户,市商在算法、技术、风控、合规上不断升级,也逐渐涉及加密领域。…......

htxresearch.medium.com

自动做市商的优缺点(AMM) - Gate.io | 芝麻开门比特币博客

自动做市商的优缺点(AMM) - Gate.io | 芝麻开门比特币博客

介绍自动化做市商(AMMs);自动化做市商的发展与进步;自动化做市商的相关风险。......

www.gate.io

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