کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8919481 | 1642891 | 2018 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Designating market maker behaviour in limit order book markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors. While quoting requirements typically enforce the activity of these participants for a certain portion of the day, an argument that liquidity demand throughout the trading day is far from uniformly distributed is made, and thus this liquidity provision may not be calibrated to the demand. Furthermore, it is propose that quoting obligations also include requirements about the speed of liquidity replenishment, and then a recommendation that use of the Threshold Exceedance Duration (TED) for this purpose be considered. To support this argument a comprehensive regression modelling approach using GLM and GAMLSS models to relate the TED to the state of the LOB and identify the regression structures that are best suited to modelling the TED is presented. Such an approach can be used by exchanges to set target levels of liquidity replenishment for designated market makers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Econometrics and Statistics - Volume 5, January 2018, Pages 20-44
Journal: Econometrics and Statistics - Volume 5, January 2018, Pages 20-44
نویسندگان
Efstathios Panayi, Gareth W. Peters, Jon Danielsson, Jean-Pierre Zigrand,