{"paper":{"title":"Liquidity Dynamics in RFQ Markets and Impact on Pricing","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["q-fin.ST"],"primary_cat":"q-fin.TR","authors_text":"Olivier Gu\\'eant, Philippe Bergault","submitted_at":"2023-09-08T09:01:51Z","abstract_excerpt":"To assign a value to a portfolio, it is common to use Mark-to-Market prices. However, how should one proceed when the securities are illiquid? When transaction prices are scarce, how can one use all the available real-time information? In this article, we address these questions for over-the-counter (OTC) markets based on requests for quotes (RFQs). We extend the concept of micro-price, which was recently introduced for assets exchanged through limit order books in the market microstructure literature, and incorporate ideas from the recent literature on OTC market making. To account for liquid"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2309.04216","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2309.04216/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}