منابع مشابه
Middlemen versus Market Makers: A Theory of Competitive Exchange
We present a model in which the microstructure of trade in a commodity or asset is endogenously determined. Producers and consumers of a commodity (or buyers and sellers of an asset) who wish to trade can choose between two competing types of intermediaries: “middlemen” (dealer/brokers) and “market makers” (specialists). Market makers post publicly observable bid and ask prices, whereas the pri...
متن کاملBandit Market Makers
We propose a flexible framework for profit-seeking market making by combining cost function based automated market makers with bandit learning algorithms. The key idea is to consider each parametrisation of the cost function as a bandit arm, and the minimum expected profits from trades executed during a period as the rewards. This allows for the creation of market makers that can adjust liquidi...
متن کاملElectronic Market-Makers: Empirical Comparison
Market-makers have been used by global stock exchanges as well as prediction markets to maintain liquidity and orderly price transitions in the financial markets. We use an agent-based model of the financial markets to analyze the behavior of market-makers employing various strategies. We empirically evaluate the performance of the market-makers in the financial market to demonstrate the streng...
متن کاملMarket Makers’ S Upply and Pricing of Financial Market Liquidity
The bid /ask spread (inverse of liquidity) in turbulent financial markets—modeled theoretically—adjusts to market-makers’ average costs. Market liquidity declines (spread increases) with increasing absolute value of market-makers’ security inventories and volatility of security price and order flow. 2002 Elsevier Science B.V. All rights reserved.
متن کاملOn the Competition between ECNs, Stock Markets and Market Makers
Favored by the Security Exchange Commission, Electronics Communication Networks (ECNs) have grown as alternative trading systems that enable to bypass the markets makers on the stock markets and allow investors to directly compensate and execute their orders with more discretion and at a lower cost. In this paper we underline the fragile character of the current ECNs and question their competit...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.894866