What are the benefits to both the market-makers and consumers in an auction?

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To support the allegation that Defendants agreed to fix the bid-ask spread, Plaintiffs compared the bid-ask spread between the Pre-Announcement and Post-Announcement Period. According to Plaintiffs, this reflects collusion to quote wider spreads in order to make higher profits. Plaintiff plead that these prior connections allow for closer relationships and more open lines of communication, which supports the inference of a conspiracy.

Schlam Stone & Dolan LLP Mexican Government Bond Market Manipulation Manipulation

Finally, Plaintiffs detail admissions from the Defendants and findings from various regulatory authorities showing that the same Defendant banks have colluded to fix prices in other markets, such as the U. Dollar Libor benchmark rate. Their relevant parent entities and certain other affiliates, including Banco Santander, S. Excluded from the Class are Defendants and their employees, agents, affiliates, parents, subsidiaries and co-conspirators, whether or not named in this Complaint, and the United States government.

Plaintiffs seek damages including treble damages , restitution, injunctions and declaratory relief under Section 1 of the Sherman Act, 15 U. We find that the upgrade is pursued mainly by market-maker-type participants.

TRADING FOREX WITH THE MARKET MAKERS: THE ULTIMATE GUIDE

Those that upgrade use their enhanced speed to reduce their exposure to adverse selection and to relax their inventory constraints. In particular, the upgraded trading entities remain competitive at the best bid and offer even when they are inventory constrained.


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Our results suggest that increasing the speed of market making participants can have benefits for market liquidity. HFTs submit more less aggressive orders when the same-side opposite-side depth is large, and supply liquidity when the bid-ask spread is wide. Thus, HFTs adhere strongly to the trade-off between waiting cost and the cost of immediate execution. Published in Journal of Futures Markets , 34 4 , Index futures markets are characterized by traders with no or little private information.

Limit order book models where trader patience rather than private information determines trading strategies, predict that a closing call auction increases trader patience and hence improves closing price accuracy and end-of-day market liquidity. We analyze futures market liquidity in three dimensions: tightness, depth, and resiliency.

Our empirical results show that the closing call auction indeed leads to increased trader patience and successfully improves the futures closing price accuracy. However, tightness and resiliency are unaffected by the regulatory change, and depth is decreasing. When the potential of large market orders is high, opportunistic patient traders post limit orders in the depth of the order book to profit from impatient traders. In line with our hypothesis, order fishing activity increases sharply in the last minute of the trading day.

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When the closing call auction is introduced, and trader patience increases, the order fishing behavior vanishes. Furthermore, market makers have higher order-to-trade ratios and lower latency than opportunistic HFTs. In a natural experiment based on tick size changes, we find that the activity of market-making HFTs mitigates intraday price volatility. The Components of the illiquidity premium: An empirical analysis of U.

What are the differences between Nasdaq and NYSE?

Published in Journal of Banking and Finance 37 11 , The conditional LCAPM allows for a time-varying decomposition of the total illiquidity premium into a level component and three risk components. The estimated average annual total illiquidity premium for US stocks is 1. The contributions from illiquidity level and illiquidity risk are 1.

Of the three illiquidity risk components, risk related to the hedging of wealth shocks is the most important, while commonality risk is the least important. The illiquidity premia are clearly time-varying, with peaks in downturns and crises, but with no general tendency to decrease over time.

Price Transparency

In this post, we provide an overview of the alleged facts in this newly filed complaint. Most importantly, market makers are not allowed to disclose their bids to each other prior to auction, and must offer competitive rates, and refrain from colluding. This is significant because the terms of the program require that the applicant show to the Government that it has participated in a cartel, not just that it engaged in unilateral illegal conduct. Since a higher bid dispersion is consistent with more uncertainty in the market, it supports the inference that there was collusion prior to the investigation being announced.

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