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Citations for "Life in the Pits: Competitive Market Making and Inventory Control"

by Manaster, Steven & Mann, Steven C

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  1. Jullavut Kittiakarasakun & Yiuman Tse & George H.K. Wang, 2012. "The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures," Managerial Finance, Emerald Group Publishing, vol. 38(8), pages 752-767, August.
  2. Richard K. Lyons., 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Research Program in Finance Working Papers RPF-230, University of California at Berkeley.
  3. Wu, Wei-Shao & Liu, Yu-Jane & Lee, Yi-Tsung & Fok, Robert C.W., 2014. "Hedging costs, liquidity, and inventory management: The evidence from option market makers," Journal of Financial Markets, Elsevier, vol. 18(C), pages 25-48.
  4. Frino, Alex & Johnstone, David & Zheng, Hui, 2004. "The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior?," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 353-372, February.
  5. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
  6. Menkveld, Albert J. & Sarkar, Asani & van der Wel, Michel, 2008. "Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate," CFS Working Paper Series 2008/47, Center for Financial Studies (CFS).
  7. Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc.
  8. Michel van der Wel & Albert Menkveld & Asani Sarkar, 2009. "Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes," Tinbergen Institute Discussion Papers 09-046/3, Tinbergen Institute.
  9. Frino, Alex & Jarnecic, Elvis, 2000. "An empirical analysis of the supply of liquidity by locals in futures markets: Evidence from the Sydney Futures Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 443-456, July.
  10. Frino, Alex & Grant, Joel & Johnstone, David, 2008. "The house money effect and local traders on the Sydney Futures Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 8-25, January.
  11. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2009. "Asymmetric information in the interbank foreign exchange market," Working Paper 2008/25, Norges Bank.
  12. Philip Bond & Yaron Leitner, 2012. "Market run-ups, market freezes, inventories, and leverage," Working Papers 12-8, Federal Reserve Bank of Philadelphia.
  13. Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
  14. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures," Staff Reports 307, Federal Reserve Bank of New York.
  15. Locke, Peter R. & Sarajoti, Pattarake, 2004. "Aggressive dealer pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 559-573, September.
  16. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Businesss School.
  17. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 04/6, International Monetary Fund.
  18. Locke, Peter & Onayev, Zhan, 2007. "Order flow, dealer profitability, and price formation," Journal of Financial Economics, Elsevier, vol. 85(3), pages 857-887, September.
  19. Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2011. "On the Effects of Private Information on Volatility," Tinbergen Institute Discussion Papers 11-077/4, Tinbergen Institute.
  20. McGroarty, Frank & ap Gwilym, Owain & Thomas, Steve, 2010. "Market structure and microstructure, in international interest rate futures markets," Research in International Business and Finance, Elsevier, vol. 24(3), pages 253-266, September.
  21. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 03/115, International Monetary Fund.
  22. Hoidal Bjonnes, Geir & Rime, Dagfinn, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," SIFR Research Report Series 17, Institute for Financial Research.
  23. Lorne N. Switzer & Haibo Fan, 2010. "Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 11-35, April.
  24. Fong, Kingsley & Zurbruegg, Ralf, 2003. "How much do locals contribute to the price discovery process?," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 305-320, May.
  25. Bruno Biais & Thierry Foucault & François Salani, 1995. "Implicit collusion on wide spreads," Economics Working Papers 153, Department of Economics and Business, Universitat Pompeu Fabra.
  26. Joel Hasbrouck, 1998. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-076, New York University, Leonard N. Stern School of Business-.
  27. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
  28. Fang Cai, 2003. "Was there front running during the LTCM crisis," International Finance Discussion Papers 758, Board of Governors of the Federal Reserve System (U.S.).
  29. Chatrath, Arjun & Christie-David, Rohan A. & Lee, Kiseop & Moore, William T., 2009. "Competitive inventory management in Treasury markets," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 800-809, May.
  30. Chakravarty, Sugato & Li, Kai, 2003. "A Bayesian analysis of dual trader informativeness in futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 355-371, May.
  31. Weiner, Robert J., 2000. "Sheep in Wolves' Clothing?," Cahiers de recherche 0001, GREEN.
  32. Anand, Amber & Karagozoglu, Ahmet K., 2006. "Relative performance of bid-ask spread estimators: Futures market evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 231-245, July.
  33. Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2011. "On the Effects of Private Information on Volatility," Tinbergen Institute Discussion Papers 11-077/4, Tinbergen Institute.
  34. Erik Theissen, 2002. "Trader Anonymity, Price Formation and Liquidity," Bonn Econ Discussion Papers bgse20_2002, University of Bonn, Germany.
  35. Hansch, Oliver, 2004. "The cross-sectional determinants of inventory control and the subtle effects of ADRs," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1915-1933, August.
  36. Yiuman Tse & Paramita Bandyopadhyay, 2006. "Multi-market trading in the Eurodollar futures market," Review of Quantitative Finance and Accounting, Springer, vol. 26(3), pages 321-341, May.
  37. Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998. "Estimating the adverse selection and fixed costs of trading in markets with multiple informed traders," Research Paper 9814, Federal Reserve Bank of New York.
  38. Hun Y. Park & Asani Sarkar & Lifan Wu, 1998. "Do Brokers Misallocate Customer Trades? Evidence From Futures Markets," Finance 9801002, EconWPA.
  39. Köksal, Bülent, 2010. "Participation strategy of the NYSE specialists to the posted quotes," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 314-331, December.
  40. Philip Bond & Yaron Leitner, 2013. "Market run-ups, market freezes, inventories, and leverage," Working Papers 13-14, Federal Reserve Bank of Philadelphia, revised 04 Feb 2014.
  41. Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1997. "Estimating the adverse selection cost in markets with multiple informed traders," Research Paper 9713, Federal Reserve Bank of New York.