University of California, Berkeley, Tel Aviv University, and BARRA, Berkeley, respectively. This is an abridged version of , which is available upon request from the authors (School of Business Administration, University of California, Berkeley, California 94720). Among other things, the comprehensive version contains a detailed description of the simulated demand generation process and a fuller discussion of the results. Presented at The Institute of Management Science Meeting in Honolulu; Simon Fraser University, Burnaby, British Columbia; Bell Laboratories, Murray Hill, New Jersey; New York University; and Tel Aviv University. The authors would like to thank the participants of these seminars for helpful comments and gratefully acknowledge support from the National Science Foundation Grant SOC77-09482, from Ford Foundation Grant No. 10, administered through the Israel Foundation Trustees, and from the Dean Witter Foundation. Portions of the model described in this paper have been adopted by the Tel Aviv Stock Exchange.
On the Feasibility of Automated Market Making by a Programmed Specialist
Version of Record online: 30 APR 2012
© 1985 the American Finance Association
The Journal of Finance
Volume 40, Issue 1, pages 1–20, March 1985
How to Cite
HAKANSSON, N. H., BEJA, A. and KALE, J. (1985), On the Feasibility of Automated Market Making by a Programmed Specialist. The Journal of Finance, 40: 1–20. doi: 10.1111/j.1540-6261.1985.tb04934.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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