Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87087
Authors: 
van der Wel, Michel
Menkveld, Albert
Sarkar, Asani
Year of Publication: 
2009
Series/Report no.: 
Tinbergen Institute Discussion Paper 09-046/3
Abstract: 
We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a high-frequency dataset of the 30Y U.S. treasury futures to investigate the role of the market maker. Most theory characterizes him as an uninformed passive liquidity supplier. Our results suggest that some market makers actively demand liquidity for a substantial part of the day and are informed speculators.
Subjects: 
market microstructure
signing trades
market makers
treasury futures
discount rate
JEL: 
C22
G14
E44
Document Type: 
Working Paper

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