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Finance Down Under 2016 Building on the Best from the Cellars of Finance (Archive)最新文献

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Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs 现金抢购:机构流动性需求的月度市场影响
Finance Down Under 2016 Building on the Best from the Cellars of Finance (Archive) Pub Date : 2018-12-31 DOI: 10.2139/ssrn.2528692
Erkko M. Etula, K. Rinne, Matti Suominen, Lauri Vaittinen
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引用次数: 24
Uncertain Market Making 不确定的做市
Finance Down Under 2016 Building on the Best from the Cellars of Finance (Archive) Pub Date : 2017-05-02 DOI: 10.2139/ssrn.2667837
B. Z. Yueshen
{"title":"Uncertain Market Making","authors":"B. Z. Yueshen","doi":"10.2139/ssrn.2667837","DOIUrl":"https://doi.org/10.2139/ssrn.2667837","url":null,"abstract":"This paper argues that market makers’ presence is uncertain over any short time interval, as their operations are subject to shocks and constraints of, e.g., capital, technology, and attention. Such uncertain market making implies a random pricing equilibrium in a noise rational expectations framework. Implications for risk, liquidity, and efficiency are discussed. A structural model captures from data the predicted dispersion of random pricing. In 2014, the estimated dispersion is around 10 times of the average price impact, compared to only 2 times in the early 2000s. The evidence suggests deteriorated short-run order flow pricing efficiency in the U.S. equity market.","PeriodicalId":103320,"journal":{"name":"Finance Down Under 2016 Building on the Best from the Cellars of Finance (Archive)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116127921","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
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