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Could market making be profitable in the European carbon market?

Galariotis, Emilios, Kalaitzoglou Iordanis, Kosmidou, Kyriaki, Papaefthymiou Spyridon, Spyrou Spyros I.

Απλή Εγγραφή


URIhttp://purl.tuc.gr/dl/dias/0D7CDFCF-7999-4F61-B1AC-2D84C5C92D49-
Αναγνωριστικόhttps://doi.org/10.5547/01956574.40.SI1.egal-
Αναγνωριστικόhttps://www.iaee.org/energyjournal/article/3301-
Γλώσσαen-
Μέγεθος24 pagesen
ΤίτλοςCould market making be profitable in the European carbon market?en
ΔημιουργόςGalariotis, Emiliosen
ΔημιουργόςKalaitzoglou Iordanisen
ΔημιουργόςKosmidou, Kyriakien
ΔημιουργόςPapaefthymiou Spyridonen
ΔημιουργόςΠαπαευθυμιου Σπυριδωνel
ΔημιουργόςSpyrou Spyros I.en
ΕκδότηςInternational Association for Energy Economicsen
ΠερίληψηWe investigate when market making can be profitable in the European Carbon Futures market, by developing an order type selection rule, based solely on transaction level data. We employ a granular approach that uses an observable variable, i.e. trading intensity, to extract the liquidity and information price components and we investigate their impact on spreads, volatility and ultimately on the profitability of different order types. We find that market orders are always less profitable than limit orders. In addition, market makers are expected to derive most of their profits in a low trading intensity environment, mainly due to higher liquidity commissions and a lower probability of dealing with better informed agents. In contrast, an unconditional limit order submission strategy from an off-floor trader should not be preferred, apart from a medium trading intensity environment, where information and liquidity premia adequately compensate them for execution and information risk.en
ΤύποςPeer-Reviewed Journal Publicationen
ΤύποςΔημοσίευση σε Περιοδικό με Κριτέςel
Άδεια Χρήσηςhttp://creativecommons.org/licenses/by/4.0/en
Ημερομηνία2020-11-13-
Ημερομηνία Δημοσίευσης2019-
Θεματική ΚατηγορίαEUA futuresen
Θεματική ΚατηγορίαUHF tradingen
Θεματική ΚατηγορίαIntraday price discoveryen
Θεματική ΚατηγορίαMarket makingen
Βιβλιογραφική ΑναφοράE. Galariotis, I. Kalaitzoglou, K. Kosmidou, S. Papaefthimiou, and S.I. Spyrou, "Could market making be profitable in the European carbon market?," The Energy J., vol. 40, Special issue, pp. 5-28, 2019. doi: 10.5547/01956574.40.SI1.egalen

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