Questions tagged [market-making]
Market makers provide liquidity to the market by quoting bid and ask prices for most of the time. The pricing in absolute terms is not as important as finding relative mispricing. The market microstructure is often used to develop trading strategies.
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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 ...
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How credible is Knight pointing the finger at Rule 107C?
After the Knight Capital incident, I decided to read into the new Rule 107C that NYSE pushed-out August 1st for a one-year pilot. From what I've read, Knight claims that new code rolled out for this ...
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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 ...
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How does one measure the effect of latency on potential returns?
I am looking to evaluate the hypothetical advantage one trading system has over another in terms of the possible returns given their latency.
Irene Aldridge wrote a piece (How Profitable Are High-...
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What really drives option implied volatility?
A common and oft repeated belief regarding options volatility is that implied volatility increases due to people bidding up a contract, usually related to anticipation of the outcome of an expected ...
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Reference on Electronic volatility trading [duplicate]
Possible Duplicate:
Looking for a recommendation for a real life volatily trading book.
I recently came in contact with a quant desk that traded volatility. The discussion only highlited my lack ...
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what is a typical way forex brokerages can provide cheap leverage for their customers?
I'm not very well read in the area of high finance but I'm curious how forex brokerages are able to provide the backing for leverage that they can provide to customers.
Is it possible to do this ...
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Is equity market making a game of speed?
I have always felt that equity market making was a speed game for HFTs. But recently I talked to someone on the buy side, who made a claim to the contrary. He argued that with the right market making ...
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accumulation/distribution and options to create excessive position to hit the tape with later
I am curious about possibilities and theory here. Basically a "problem" with trying to get large positions is that it would move the market in the direction that you are loading up on, therefore ...
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Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes)
There's a relatively new product in the market / on the Nasdaq called Alpha Indexes. It lets one own a company -- e.g. Apple, GE, Google, etc -- as the difference between how that company does (the "...
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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 ...
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Why do high frequency traders use rapidly cancelled limit orders?
In reading about the various practices and strategies of high frequency traders, one of the most mysterious to me is "fleeting orders," or orders that are cancelled almost immediately after they are ...
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How can I learn about the quantitative aspects of market making in illiquid single stock options?
I would like to learn more about the possible ways of doing quantitative research regarding option market making. In particular, while the mainstream index option market may be very liquid, the ...
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Order submission strategies of a rational market maker?
Consider a market maker that has decided to try to make a round-trip trade in stock A in order to capture the bid-ask spread.
Assume furthermore that he has no current inventory in the stock A. To ...
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Algorithm for the choice of stocks for a equity scalper/market maker to engage in?
Assume a scalper/market maker who is operating on an exchange with $N$ stocks with different characteristics such as current market value, average bid-ask spread, average daily volume and historical ...
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How are dual class shares different from non dual class shares from a market makers' perspective?
Assume a stock Foo with a single share class.
Furthermore, assume a dual class stock Bar with classes I and II with different voting rights.
The shares in the different classes have equal cash flow ...
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Operating parameters of market makers?
I'd like to get a feel for the operating parameters of official market makers. I'm looking more for discerning characteristics, rather than exact numbers or an exhaustive list of each MM.
Examples: ...
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