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Drawing conceptually upon the literature on critical macro-finance and market-based banking, this article investigates the People's Bank of China's (PBC) role in transforming China's financial system. By analysing regulatory and monetary policy in the context of the party-state's financial reform agenda and against the background of structural changes in liquidity creation, it shows how the PBC has created a bond market from shadow banking. To this end, the PBC makes and governs through financial markets by targeting the liquidity of interbank collateral through unconventional monetary policies, that is, by expanding its own balance sheet. By developing an interbank bond market, the PBC has restored its control over credit creation and financial stability previously lost to shadow banking, however, at the price of inserting itself more tightly into political economic constraints created by the nexus of liquidity and growth. [ABSTRACT FROM AUTHOR]

Electricity retailers in an electricity market use over-the-counter (OTC) contracts, or bilateral, and spot market purchases to meet the energy demands of their users. In some markets, OTC contracts face issues with price discrimination and accessibility. This study reveals some inefficiencies of OTC contracts in Colombia that expose regulated users—approximately 70% of the national demand—to market risk. This risk is aggravated by the current tariff design. To mitigate these inefficiencies, this article proposes the incorporation of a market maker that will improve the liquidity of existing energy futures in the country. These futures are mechanisms that the retailers could implement to hedge their demand and reduce the adverse effects of market risk. The characteristics of the market maker and a quantitative analysis of its impact are developed in this paper. While the characterization of the problem with its solution is developed with Colombian data, the conceptual framework could be extended to other countries that are concerned about how energy users are being affected by increases in tariffs due to high exposure to spot market price volatility. [ABSTRACT FROM AUTHOR]

The 2008 financial crisis saw central banks introduce a variety of tools to shore up the financial system, including unconventional measures that made use of central bank balance sheets to directly shape markets. This paper argues that central banks increasingly rely on unconventional tools in noncrisis times to maintain confidence in an unstable financial system: in rich countries, outright asset purchase programs form the core of monetary policy, and in emerging capitalist economies, the sale and purchase of foreign exchange assets constitute the central mechanism of exchange rate policy. These interventions increasingly target 'market dysfunction,' as opposed to (a narrow interpretation of) monetary policy or the level of the exchange rate, suggesting a convergence in central bank operations around maintaining the plumbing of finance. Using two case studies – foreign exchange operations by the Reserve Bank of India and asset purchase programs by the U.S. Federal Reserve – the paper demonstrates a blurring of the boundaries between crisis and noncrisis interventions, and lends evidence to the concept of a de-risking state that guarantees liquidity. The paper concludes with a discussion of how a de-risking state exacerbates inequality, financial vulnerabilities and undermines meaningful action on pressing issues such as climate change. [ABSTRACT FROM AUTHOR]

Copyright of College of Law Journal for Legal & Political Sciences / Magallat Kulliyyat Al-Qanun Li-L-ulum Al-Qanuniyyat Wa-Al-Siyasiyyat is the property of Republic of Iraq Ministry of Higher Education & Scientific Research (MOHESR) and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Financial & Business Studies Journal / Maǧallaẗ Al-Dirāsāt Al-Māliyyaẗ wa Al-Tiǧāriyyaẗ is the property of Beni Suef University and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper exploits the introduction of the liquidity provision scheme (LPS) in NASDAQ Stockholm (NOMX) to assess how the implementation of LPS affects market liquidity and the trading behaviors of high-frequency market makers. Unlike the traditional designated market makers (DMM) that target the liquidity supply of small and less traded stocks, LPS is implemented for large-caps and liquid stocks. LPS requires participants to submit buy and sell orders at the European best bid and offer quotes with a size larger than 50,000 Swedish Krona on each trade side. LPS delivers liquidity improvements by reducing order processing costs in the large-cap and cross-listed stocks in the NOMX and Chi-X markets, with no evidence of market liquidity migration from Chi-X to NOMX. As market makers registered with LPS are likely high-frequency traders, LPS stabilizes market liquidity as market makers' decisions to supply or demand liquidity become less sensitive to market conditions like the spread and order imbalance. [ABSTRACT FROM AUTHOR]

Using the 2016 SEC Tick Size Pilot Program, we study the effects of an increase in tick size on institutional trading, market making costs, profitability, and activities. We find that increasing the tick size deters institutional trading participation, as it results in unfavorable stock characteristics, such as greater price impact and depressed share prices. In particular, we show that the implementation of the pilot program creates a substitution effect, which causes mutual funds to migrate from pilot (wider-tick) stocks to control (narrower-tick) peers. Furthermore, we document that widening the tick size increases adverse selection and inventory costs and thus reduces market making profitability, leading to lower market-making activities. Further analysis shows that these adverse effects can be attributed to the trade-at rule that prevents price-matching in non-displaying trading centers, while the quote rule that mandates a minimum quote increment of five cents enriches market makers and promotes liquidity provision. Finally, we show that our results are more pronounced for tick-constrained stocks than for unconstrained ones. Overall, the evidence contradicts the SEC's intent to use a larger tick size to incentivize market making in small-cap stocks and attract more investors to trade these stocks, and dispraises the "one-size-fits-all" approach undertaken by regulators. [ABSTRACT FROM AUTHOR]

Motivated by the growing demand for distributed energy resources (DERs), peer-to-peer (P2P) electricity markets have been explored worldwide. However, such P2P markets must be balanced in much smaller regions with a lot fewer participants than centralized wholesale electricity markets; hence, the market has inherent problems of low liquidity and price instability. In this study, we propose applying a market maker system to the P2P electricity market and developing an efficient market strategy to increase liquidity and mitigate extreme price fluctuations. To this end, we construct an artificial market simulator for P2P electricity trading and design a market agent and general agents (photovoltaic (PV) generators, consumers, and prosumers) to perform power bidding and contract processing. Moreover, we introduce market-maker agents in this study who follow the regulations set by a market administrator and simultaneously place both sell and buy orders in the same market. We implement two types of bidding strategies for market makers and examine their effects on liquidity improvement and price stabilization as well as profitability, using solar PV generation and consumption data observed in a past demonstration project. It is confirmed that liquidity and price stability may be improved by introducing a market maker although there is a trade-off relationship between these effects and the market maker's profitability. [ABSTRACT FROM AUTHOR]

We introduce a four-stage, multi-price buying mechanism which can be used by a (big) buyer to separate low-quality sellers – called "lemon" owners – from high-quality sellers – called "peach" owners. With a partition of sellers into several groups, the buyer obtains the commodities from a desired number of "peach" owners at a price that matches their willingness to sell. For their part, "lemon" owners are trapped into selling their items at a low, or even negligible, price. We discuss several variants of this mechanism – generically called a Devil's Menu – and show how the degree of surplus extraction by the buyer is related to the number of prices used and to the extent to which items can be bought sequentially. The common feature of all the variants is that they allow the buyer to neglect those partition groups with the highest number of false claims made by sellers who own lemons. This, in turn, yields equilibria in which no false claims are made. Our results are robust for several extensions of our baseline setup. Finally, we offer applications of our insights for market regulators, political interest groups, and decoy ballots. • We introduce a family of mechanisms to separate low-quality sellers from high-quality sellers. • The mechanisms use a seller partition to induce truth-telling. • We show the robustness of our results for several extensions of our baseline setup. • We offer applications of our insights for market regulators, political interest groups, and decoy ballots. [ABSTRACT FROM AUTHOR]

The goal of this paper is to verify how behavioural and social features influence the decisions of market makers and to identify the impact that such decisions have on the trade volume, price levels and bid-ask spreads observed in the market. Many classical microstructural models explain the rational behaviour of market makers. We can distinguish two main groups of such models: information-based models and inventory-based ones. On the one hand, information-based models emphasise the role of the informational asymmetry between market makers and informed traders. On the other hand, inventory-based models relate the behaviour of market makers to the current status of inventories. In particular, the objective of the market maker is to either avoid bankruptcy or merely maintain an inventory balance. It is known, however, that it is not just rational factors which may influence economic behaviour. In particular, based on the literature, we stipulate that such personal traits as risk attitude, impulsivity, social behaviour and sense of fairness may influence market makers' behaviour. To verify this, we conducted a series of experiments with the goal of analysing the relation between these factors and market maker behaviour. Participants in these experiments played the role of a market maker in the simulated options market. Experimental data enabled us to analyse how the behavioural traits influence individual decisions. However, due to missing interactions among market makers during the experiment, the data did not enable us to analyse how these traits influence the aggregated observed markets parameters, such as trading volume and mean spread in a competitive market. Therefore, we propose a formal agent-based model that makes it possible to investigate how behavioural factors influence market variables such as price and volume by means of the simulation. [ABSTRACT FROM AUTHOR]

This article examines the technology of futures supply, which includes three directions in its structure: trading, clearing (clearing organization, position calculations), supply process (non-deliverable contracts, deliveries of goods at a specific elevator, electronic warehouse document management, electronic digital signature system). The schemes of application of futures instruments at grain elevators have been singled out. It was found out that the domestic system of grain accounting at grain elevators loses much in comparison with the system of custodial (depositary) accounting, in centralization, in the presence of unified rules, as well as in other parameters. It is proposed to use market makers to provide a continuous flow of exchange liquidity (that is, to provide liquidity to both buyers and sellers at the same time). Methodology. The scientific research is based on the developments of domestic and foreign economists, as well as own observations and conclusions. Results. It turned out that, in theory, every trader can become a market maker by placing a pending limit order in the trading blotter. Specific examples are given, with figures, of how exactly the same product can be traded on a low-liquid and a high-liquid exchange. Three scenarios are proposed and it is concluded that the probability of the third scenario is quite high. Practical implications. It is proved that the Last Look system is one of the methods for solving the problem of market maker risk. It is shown that the main data transfer protocols between the exchange and its institutional participants can be Fix and Fast Data Protocols. The advantages and disadvantages of Fix and Fast data protocols are highlighted. It was found that the Fast protocol is actively implemented on trading floors, but it is still inferior in prevalence to the "classic" protocol Fix. Value/originality. Ensure the use of futures instruments in elevators. It is proposed to use market makers to provide a continuous flow of exchange liquidity.

• We advance a stochastic volatility model considering market maker's inventory risk proposed by Fournier et al. (2020), and derive its analytical option pricing and implied volatility formula. • We investigate the accuracy of in-sample fitting and out-of-sample prediction of the proposed model on the SSE 50 ETF options. • The empirical findings suggest that integrating market maker's inventory risk into the volatility risk premium can improve pricing performance in comparison to the traditional linear models. Recently the pivotal role of financial intermediaries, especially market makers, in the domain of option pricing has received significant attention. This study advances the modeling framework introduced by Fournier (2020) by incorporating market maker's inventory risk into option pricing for the Chinese market. Building on empirical findings, the dynamic of the ratio of market makers' inventory risks to wealth is modified as continuous GARCH model. Moreover, we propose a general and innovative analytical formulation for option pricing and implied volatility, utilizing the auxiliary model method. The concluding empirical tests affirm the enhanced accuracy of our model over conventional approaches. [ABSTRACT FROM AUTHOR]

This study addresses a problem that Chilean stockbrokers must face when - acting as market makers - they have to determine bid and ask prices for local fixed-income investment fund shares. As a solution, a mathematical model is proposed based on a share's last known net asset value and the daily fluctuation of the reference fixed-income market rate (Central Bank of Chile bonds in 5-year development units - BCU 5). Results obtained show a clear improvement of the proposed model's outcome when compared to simply using the last information available in the market to determine the share's price. [ABSTRACT FROM AUTHOR]

Pollution control is vital for human beings to create a harmonious living environment, and it is an important challenge for all countries worldwide. The emissions trading applicability in the market maker system can play an important role in the process of pollution control. To evaluate the effectiveness of the quotation trading system, it is necessary to develop a system strategy for market makers in emissions trading. In this paper, first the mechanism of the formation of the best offer to market makers is studied based on the construction of the three players' dynamic game model. Then, we construct the system cost model of the market maker quotation transaction by comparing the system costs of the market maker. Finally, this paper provides a set of incentives and constraints to guarantee the quotation trading of market makers, including policy recommendations for the implementation of the quotation trading system of market makers etc. [ABSTRACT FROM AUTHOR]

This paper investigates a special and already well-documented topic within market efficiency, the put–call parity relationship. The analysis is carried out to the cryptocurrency options market, where market microstructure effects are treated. A new concept of the forward and backward PCP breaking for European options is introduced. This is examined in detail for Ethereum options listed on Binance using a one-second resolution data set. The results show that significant put–call parity violations remain even after controlling for bid–ask spread, trading costs and funding costs. • The put–call parity is tested on cryptocurrency options collected from Binance.com. • Quoted price data of ETHUSDT European options is used in one-second resolution form. • The whole distribution of the PCP breaking is studied. • Forward and backward breaking reflects bid–ask spread, transaction fee and interest. • Appreciable put–call parity breaking remains after considering all arbitrage costs. [ABSTRACT FROM AUTHOR]