Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Spread, volatility, and volume relationship in financial markets and
  market making profit optimization   We study the relationship between price spread, volatility and trading
volume. We find that spread forms as a result of interplay between order
liquidity and order impact. When trading volume is small adding more liquidity
helps improve price accuracy and reduce spread, but after some point additional
liquidity begins to deteriorate price. The model allows to connect the bid-ask
spread and high-low bars to measurable microstructural parameters and express
their dependence on trading volume, volatility and time horizon. Using the
established relations, we address the operating spread optimization problem to
maximize market-making profit.

34
The categories of this paper are: chem-ph
33
The categories of this paper are: plasm-ph
8
The categories of this paper are: hep-ex
37
The categories of this paper are: supr-con
36
The categories of this paper are: cmp-lg
25
The categories of this paper are: patt-sol
29
The categories of this paper are: funct-an
4
The categories of this paper are: cond-mat
18
The categories of this paper are: econ
15
The categories of this paper are: nucl-ex
28
The categories of this paper are: alg-geom
21
The categories of this paper are: adap-org
26
The categories of this paper are: bayes-an
27
The categories of this paper are: comp-gas
30
The categories of this paper are: q-alg
20
The categories of this paper are: acc-phys