Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes

Arbeitspapier

We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a high-frequency dataset of the 30Y U.S. treasury futures to investigate the role of the market maker. Most theory characterizes him as an uninformed passive liquidity supplier. Our results suggest that some market makers actively demand liquidity for a substantial part of the day and are informed speculators.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Tinbergen Institute Discussion Paper ; No. 09-046/3

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Information and Market Efficiency; Event Studies; Insider Trading ; Financial Markets and the Macroeconomy
• Thema: market microstructure ; signing trades ; market makers ; treasury futures ; discount rate ; Informationsverhalten ; Börsenmakler ; Wertpapierhandel ; Staatspapier ; Marktmikrostruktur ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): van der Wel, Michel ; Menkveld, Albert ; Sarkar, Asani
• Ereignis: Veröffentlichung
• (wer): Tinbergen Institute
• (wo): Amsterdam and Rotterdam
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/87087
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ