Policy Watch: Did Nasdaq Market Makers Implicitly Collude?
نویسندگان
چکیده
منابع مشابه
Symposium on market microstructure: Focus on Nasdaq
This special issue of the Journal of Financial Economics includes six articles that analyze the market microstructure of Nasdaq in various ways. The question of the costs of trading on Nasdaq has become contentious in both the academic and legal/regulatory arenas since the Christie and Schultz (1994) article first noted that many actively traded Nasdaq stocks were almost never quoted on odd eig...
متن کاملA Nasdaq Market Simulation: Draft in Progress
Isaac Saias, and others for their valuable comments and suggestions. We thank Paula Lozar for editing help. We acknowledge Nasdaq's financial support in working on this project. Usual disclaimer applies.
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 کاملEnsemble properties of securities traded in the NASDAQ market
We study the price dynamics of stocks traded in the NASDAQmarket by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to previous results obtained for the NYSE market, we find that the second moment is a long-range correlated...
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ژورنال
عنوان ژورنال: Journal of Economic Perspectives
سال: 1995
ISSN: 0895-3309
DOI: 10.1257/jep.9.3.199