1
vote
1answer
123 views

Short-term directional trading

Did value of ratio between informed and uninformed traders at market, making difference to profitability of short-term directional trading on that market? My guess is yes and better play short-term ...
0
votes
1answer
81 views

Market-Maker existence impact to short-term informed directional trading

How existence of market-maker affects short-term directional trading? Normally when playing short-term directional we play against market marker that will cover losses from uninformed traders. But ...
2
votes
0answers
217 views

Microstructure effects for a market maker? [closed]

When building a market maker that rests limits orders on both sides of the book, what microstructure effects should we be looking at to price those orders? I’m targeting liquid futures markets, and ...
8
votes
1answer
684 views

academic papers about market making

I am looking for academic articles which model the p&L of market makers. I have read the Ho-Stoll (1984) article. Is there any recent article on this subject?
3
votes
2answers
839 views

Position management and market-making techniques

Suppose, there is a HF strategy (agent) that is based on order book microstructure, and it is able to make good executions locally. More formally, in average its execution price is better than asset ...
1
vote
1answer
173 views

Looking for analysis of NASDAQ suit?

I may have every particular detail of this wrong, including the exchange, but years ago, maybe as long as 20, there was a successful suit against NASDAQ based on research by academics showing their ...
5
votes
1answer
409 views

Market making in thinly traded assets

Could anyone suggest some literature or have any practical advice for marking a market in thinly traded assets with the following characteristics: 0-10 trades per day. Open limit-order book with 0-5 ...
12
votes
3answers
3k views

Techniques to optimize the placement of orders in market making strategy?

Market making often requires placing and canceling a lot of orders. You have to buy and sell nearly simultaneously, so you need to move orders pretty often to beat other traders. But I would like to ...