scholarly journals O efeito da introdução de market makers na liquidez das ações: evidências no mercado acionário brasileiro

2021 ◽  
Vol 13 (2) ◽  
pp. 165-180
Author(s):  
Gabriel Augusto de Carvalho ◽  
João Eduardo Ribeiro ◽  
Laíse Ferraz Correia
Keyword(s):  
Market Maker ◽  
Market Makers

Objetivo: Este estudo teve por objetivo analisar se a introdução de market makers nas negociações das ações de empresas brasileiras listadas na bolsa de valores brasileira, é uma medida válida para a elevação da liquidez de mercado desses ativos. Metodologia: Foi realizado o teste de quebra estrutural de Chow nas séries temporais das proxies de liquidez spread médio, índice turnover e volume financeiro, em uma amostra de 55 ativos. Optou-se por considerar dados na janela de 260 dias antes e 260 dias após o início da atuação do market maker, por representar o número aproximado de pregões em um ano, e por evitar conclusões errôneas devido à volatilidade do mercado brasileiro. Resultados: Os resultados evidenciaram que após a introdução dos market makers e considerado um nível de confiança de 99%, 67% dos ativos estudados tiveram mudanças abruptas e estatisticamente significativas no spread médio, 47% apresentaram mudanças abruptas no turnover e 60% tiveram mudanças no volume de negociação. Flexibilizando o nível de confiança para 95%, 76% dos ativos estudados apresentaram mudanças abruptas no spread médio, 65% tiveram mudanças no turnover e 69% apresentaram mudanças no volume de negociações. Ao nível de confiança de 90%, os resultados encontrados foram de 85% dos ativos apresentando mudanças abruptas no spread médio, 78% apresentando mudanças no turnover e 73% apresentando mudanças abruptas e estatisticamente significativas no volume negociado. Contribuições do Estudo: Esse quadro fornece portanto, fortes evidências sobre a atuação dos market makers e a influência que esses agentes exercem na liquidez de mercado dos ativos negociados pela bolsa de valores brasileira, ao demostrar que, a sua contratação pode aumentar a liquidez e contribuir de forma significativa com as negociações dos ativos.

ON MARKET MAKER FUNCTIONS

2012 ◽  
Vol 3 (1) ◽  
pp. 61-63 ◽  
Author(s):  
Robin Hanson
Keyword(s):  
Scoring Rules ◽  
Double Auction ◽  
Market Maker ◽  
Main Function ◽  
Market Makers ◽  
Continuous Double Auction

Since market scoring rules have become popular as a form of market maker, it seems worth reviewing just what such mechanisms are intended to do.The main function performed by most market makers is to serve as an intermediary between people who prefer to trade at different times.  Traders who have the same favorite times to trade can show up together to an ordinary continuous double auction, and then make and accept offers to trade.  But when traders have different favorite times, a market maker can help them by first making offers that some of them will accept, and then later making opposite offers which others will accept.  By adjusting prices in his favor, a market maker can even profit from providing this service.

scholarly journals Welfare Effects of Market Making in Continuous Double Auctions

2017 ◽  
Vol 59 ◽  
pp. 613-650 ◽  
Author(s):  
Elaine Wah ◽  
Mason Wright ◽  
Michael P. Wellman
Keyword(s):  
Allocative Efficiency ◽  
Market Model ◽  
Model Parameters ◽  
Market Maker ◽  
Market Making ◽  
Market Makers ◽  
Continuous Double Auctions ◽  
Thin Markets ◽  
Heuristic Strategies ◽  
Fundamental Value

We investigate the effects of market making on market performance, focusing on allocative efficiency as well as gains from trade accrued by background traders. We employ empirical simulation-based methods to evaluate heuristic strategies for market makers as well as background investors in a variety of complex trading environments. Our market model incorporates private and common valuation elements, with dynamic fundamental value and asymmetric information. In this context, we compare the surplus achieved by background traders in strategic equilibrium, with and without a market maker. Our findings indicate that the presence of the market maker strongly tends to increase total welfare across various environments. Market-maker profit may or may not exceed the welfare gain, thus the effect on background-investor surplus is ambiguous. We find that market making tends to benefit investors in relatively thin markets, and situations where background traders are impatient, due to limited trading opportunities. The presence of additional market makers increases these benefits, as competition drives the market makers to provide liquidity at lower price spreads. A thorough sensitivity analysis indicates that these results are robust to reasonable changes in model parameters.

scholarly journals Os efeitos da introdução de agentes de liquidez no mercado acionário brasileiro

2013 ◽  
Vol 11 (2) ◽  
pp. 281
Author(s):  
Marcelo Perlin
Keyword(s):  
Event Study ◽  
High Frequency ◽  
Financial Institution ◽  
Stock Exchange ◽  
Market Maker ◽  
Average Increase ◽  
Market Making ◽  
Market Makers ◽  
Liquidity Provision ◽  
Before And After

The main objective of this study is to analyze the empirical effects of the introduction of market makers in the Brazilian stock exchange. By aggregating information regarding the dates of the market maker’s contract and the use of a privileged high frequency database, it was possible to execute an event study to check the effect of the introduction of liquidity agents. As expected, the period after the beginning of the market maker’s contract presented a significant increase in the liquidity of the stocks. The study reports an average increase of 31% in the number of trades in the period before and after the start of the contract. Another result is that the work of a liquidity agent can change significantly the autocorrelation of the trade signs in approximately 10%. Such a result is stronger for the stocks with lower liquidity. The investigation also shows heterogeneous results for the performance of the liquidity provision when the analysis based itself on the financial institution of the market maker. Such information is particularly important for companies that are seeking to contract market making services.

The Central Bank Shift to Market Maker of Last Resort: The Unintended Consequences of Unconventional Monetary Policies

2022 ◽  
Vol 0 (0) ◽  
Author(s):  
Gabriel A. Giménez Roche ◽  
Nathalie Janson
Keyword(s):  
Central Banks ◽  
Unintended Consequences ◽  
Asset Markets ◽  
Primary Concern ◽  
Market Maker ◽  
Monetary Policies ◽  
Market Makers ◽  
Structural Problems ◽  
The Difference ◽  
Bank Reserves

Abstract We analyze the transition of central banks from lenders to market makers of last resort. The adoption of unconventional monetary policies characterizes this transition. In their new role as market makers, central banks engage in the latter by extending and reinforcing interventions in other markets than the traditional bank reserves market. We then explain that the difference between the two roles is one of degree rather than kind. In both cases, the prevention of liquidity shortages is a primary concern. As conventional policies become inadequate, central banks resort to unconventional policies to escape a general liquidity shortage at the zero lower bound. However, these unconventional policies do not solve the structural problems in financial and real markets. Both conventional and unconventional monetary policies cause price distortions, in particular on asset markets. The policies of the market maker of last resort prevent necessary readjustments of cyclical divergences between real and financial markets.

THE HIDDEN BEAUTY OF THE QUADRATIC MARKET SCORING RULE: A UNIFORM LIQUIDITY MARKET MAKER, WITH VARIATIONS

2012 ◽  
Vol 1 (2) ◽  
pp. 111-125 ◽  
Author(s):  
Michael Abramovicz
Keyword(s):  
Scoring Rules ◽  
Prediction Markets ◽  
Market Maker ◽  
Scoring Rule ◽  
Market Makers ◽  
Market Participants ◽  
Aggregate Information ◽  
Spectrum Market

For some applications, prediction markets that rely entirely on voluntary transactions between individual participants may provide insufficient liquidity to aggregate information effectively, especially where the number of participants is small. A solution to this problem is to rely on an automated market maker, which allows participants to buy from or sell to the house. Robin Hanson has described a class of automated market makers called market scoring rules. This Article examines a member of this class that has received little attention, the quadratic market scoring rule. Its prime virtue is that it provides uniform liquidity across the probability or prediction spectrum. Market participants will thus have the same incentive to do research that is expected to produce an expected change in the market prediction, regardless of the current prediction. Formulas are provided for implementing the quadratic market scoring rule, as well as variations, for example to implement conditional markets.

scholarly journals HERDING BEHAVIOR: MENGEKSPLORASI SISI ANALISIS BROKER SUMMARY

2021 ◽  
Vol 21 (2) ◽  
pp. 207
Author(s):  
Ainun Naim ◽  
Dwi Hita Darmawan ◽  
Nurafifah Wulandari
Keyword(s):  
Stock Exchange ◽  
Time Frame ◽  
Future Research ◽  
Market Maker ◽  
Retail Market ◽  
Herding Behavior ◽  
Market Makers ◽  
Research Gap ◽  
The Impact ◽  
Positive Return

<p><strong><em>Abstract</em></strong><em>: Our research focuses on herding behavior and broker summary analysis in the Covid-19 time frame in Indonesia. Herding behavior in the retail exchange community or the general public is considered detrimental due to the irrationality of analysis and promoting euphoria which results in very large losses. Answering the research gap, we offer a broad exploration concept to avoid and create positive returns by utilizing the herding behavior of the retail market community. We tested using multiple methods to ensure the existence of herding behavior in a regression setting of two and took advantage of positive opportunistic returns for exchange play. The first method shows that the research sample detected herding behavior during March 11, 2020 – March 11, 202 and we ensure the resilience of existence through two models. The second method, to get a positive return, we offer bandarmology analysis adopted from Dow theory for trading in a market maker style. Analyzing the movement and following market makers, we can conclude that it creates positive returns and prevents the stock exchange community from the impact of sustainable auto rejects. This study has limitations, for future research we expect the use of empirical models that are simpler and more efficient in revealing herding behavior. Furthermore, for the exploratory method, further research can be carried out in disclosing bandarmology analysis based on stock categorization (blue chip, second liner, and third liner), time horizon of market makers, and detailed analysis of camouflage behavior of market makers using retail securities.</em></p><p><strong><em>Keywords</em></strong><em>: bandarmology</em><em>;</em><em> brokers summary;</em><em> </em><em>herding behavior; market makers </em></p>

A Simple Automated Market Maker for Prediction Markets

2013 ◽  
pp. 541-559
Author(s):  
David Johnstone
Keyword(s):  
Behavioral Finance ◽  
Prediction Markets ◽  
Market Maker ◽  
Price Setting ◽  
Simulation Games ◽  
Prior Beliefs ◽  
Over The Counter ◽  
Market Makers ◽  
Market Simulation ◽  
Betting Markets

There is wide scope for reliance on automated “robot” market makers in prediction markets and market simulation games in experimental economics and behavioral finance. The market maker presented here is an alternative to the well-known but less easily understood Hanson market maker. It has the advantage of being easy to derive and makes a good mathematical introduction to the logic of automated bid and ask price–setting in prediction markets. Its main advantage is that the opening security price can be set arbitrarily between zero and one, so as to match the market maker’s prior beliefs. A weakness of the Hanson market maker is that it opens automatically with a uniform prior distribution. In many real-world applications, this is unrealistic and prone to cause the market maker unnecessary trading losses (on average). Common practice, such as in betting markets and over-the-counter financial markets for binaries, is to set opening prices based on expert subjective probabilities.

scholarly journals Simulation Research on Artificial Financial Market Based on Multiple Competitive Market-Makers

2012 ◽  
Vol 6-7 ◽  
pp. 722-729
Author(s):  
Xiao Feng Lin ◽  
Hong Tao Zhou ◽  
Wei Zeng ◽  
Hao Wang
Keyword(s):  
Financial Market ◽  
Simulation Experiment ◽  
Learning Rule ◽  
Competitive Market ◽  
Learning Ability ◽  
Market Maker ◽  
Simulation Research ◽  
Market Makers ◽  
The Past ◽  
Fundamental Value

Most of the past studies about dealership market involved only one monoplistic market-maker. The paper aims to build an artificial financial market based on multiple competitive market makers on ANYLOGIC platform, in which one market-maker adopts BAYES learning rule to estimate the fundamental value and the other employs a rough method. In order to validate the effectiveness of dealers’ quotes, we carried out two group simulation experiment. The results show that the quote of each dealer can converge to the fundamental value with certain deviation. What’s more, the deviation of the market-maker with learning ability is smaller while the converging speed slower.

On the Marketness of Markets and Actor Clout: Market-shaping Roles

2020 ◽  
Vol 4 (2-3) ◽  
pp. 170-184
Author(s):  
Suvi Nenonen ◽  
Kaj Storbacka
Keyword(s):  
The State ◽  
Market Maker ◽  
Relative Power ◽  
Market Evolution ◽  
Network Position ◽  
High Degree ◽  
Market Shaping

In reconnecting marketing to more plastic and malleable markets, we need more understanding about market evolution. In this research we explore how to assess the state of a market, and how the roles of a market-shaping actor vary depending on this state. We view markets as configurations of 25 interdependent elements and argue that well-functioning markets have a high degree of configurational fit between elements. The level of configurational fit describes the state of a market as a continuum from low to high marketness. The clout of a market actor to influence a market configuration is an amalgamation of the actor’s capabilities, network position and relative power. By exploring marketness and clout as contextual contingencies, we identify four market-shaping roles: market maker, market activist, market champion, and market complementor. The focus of a market-shaping actor, in terms of which elements to influence and in which order, vary significantly between roles.

Large Option Trades, Market Makers, and Limit Orders

CFA Digest ◽  
1997 ◽  
Vol 27 (2) ◽  
pp. 47-48
Author(s):  
Terence M. Lim
Keyword(s):  
Market Makers ◽  
Limit Orders
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