| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12245 |
| DP12245 Intraday Market Making with Overnight Inventory Costs | |
| Tobias Adrian; Agostino Capponi; Erik Vogt | |
| 发表日期 | 2017-08-25 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | The Treasury market is increasingly intermediated by non-bank proprietary trading firms. These firms differ notably from incumbent dealers in that they tend to unwind inventories at the end of the day. To shed light on the impact these new intermediaries have on market quality, we model a market making proprietary trading firm that faces overnight inventory costs. The resulting inventory hedging demand generates rising price impact and widening bid-ask spreads as the end of the trading day approaches. These predictions are borne out in the U.S. Treasury data. |
| 主题 | Financial Economics |
| 关键词 | Market microstructure theory Market liquidity Market making Financial intermediation |
| URL | https://cepr.org/publications/dp12245 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541056 |
| 推荐引用方式 GB/T 7714 | Tobias Adrian,Agostino Capponi,Erik Vogt. DP12245 Intraday Market Making with Overnight Inventory Costs. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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