Liquidity Provision and Cross Arbitrage in Continuous Double-Auction Prediction Markets

2014 ◽  
Vol 7 (3) ◽  
pp. 61-86
Author(s):  
Werner Antweiler
Keyword(s):  
Stock Market ◽  
Empirical Analysis ◽  
Double Auction ◽  
Prediction Markets ◽  
Market Maker ◽  
Micro Structure ◽  
Liquidity Provision ◽  
Novel Method ◽  
Continuous Double Auction ◽  
Bid Ask Spreads

Continuous double-auction prediction markets often exhibit low transaction volume due to substantial bid-ask spreads. This paper explores a novel method of providing artificial liquidity in continuous double-auction prediction markets by introducing an automated market maker that engages in zero-profit cross-arbitrage in multi-contract markets. Empirical analysis of observed bid-ask spreads, liquidity, offer acceptance, and order sizes in the 2008 UBC Election Stock Market provides additional new insights into the micro-structure of prediction markets. 

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 WAITING TIMES IN SIMULATED STOCK MARKETS

2009 ◽  
Vol 12 (02) ◽  
pp. 195-206 ◽  
Author(s):  
ALESSANDRO N. CAPPELLINI ◽  
GIANLUIGI FERRARIS
Keyword(s):  
Time Series ◽  
Stock Exchange ◽  
Waiting Times ◽  
Point Of View ◽  
Double Auction ◽  
Micro Structure ◽  
Agent Based ◽  
Intrinsic Complexity ◽  
Continuous Double Auction ◽  
Different Order

Exploiting a precise reproduction of a stock exchange, the robustness of the continuous double auction (CDA) mechanism, evaluated by means of the waiting time distributions, has been proved versus 36 different setups made by varying both the operators' behavior and the market micro structure. The obtained results demonstrate that the CDA remains able to clear strongly different order flows, although the Milan stock exchange seemed to be a little more efficient than the NYSE under the allocative point of view, evidencing the intrinsic complexity of the stock market. The simulation has been built as an agent-based model in order to obtain a plausible order flow. The decisions of single agents and their interaction through the market book are realistic and reproduce some empirical analysis results. The mentioned results have been obtained either by the analysis of the complete pending time series or the same computation of the asks and bids series alone.

Calibration of the agent-based continuous double auction stock market by scaling analysis

2014 ◽  
Vol 256 ◽  
pp. 46-56 ◽  
Author(s):  
Yuelei Li ◽  
Wei Zhang ◽  
Yongjie Zhang ◽  
Xiaotao Zhang ◽  
Xiong Xiong
Keyword(s):  
Stock Market ◽  
Double Auction ◽  
Scaling Analysis ◽  
Agent Based ◽  
Continuous Double Auction

Stock Market and Economic Growth: An Empirical Analysis for Nigeria

2018 ◽  
Author(s):  
Uju Akpunonu ◽  
Uju Sussan Muogbo, ◽  
EthelMary O Dim
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Empirical Analysis
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