English, Article, Journal or magazine article edition: Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes Michel van der Wel; Albert Menkveld; Asani Sarkar

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/120579
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes
Author
  • Michel van der Wel
  • Albert Menkveld
  • Asani Sarkar
Physical Description
  • preprint
Notes
  • 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.
  • market microstructure; signing trades; market makers; treasury futures; discount rate
  • RePEc:dgr:uvatin:20090046
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment