Our Financial Market Microstructure Approach
We re-introduce market making with a market maker price setting strategy, expanding it with an application which detects the fundamental value with respect to the location of the bid-ask spread adjusting the bid and ask price.
Knowing the fundamental value helps us use it in the price rule to calculate the future prices and by approximating it by locating its fundamental value with respect to the bid-ask spread and price adjustments. Simple MM helps us to simple a linear price strategy by adjusting the bid-price if the order is a sell order and adjusts the ask price if the order is a buy order.
