Institutional Repository [SANDBOX]
Technical University of Crete
EN  |  EL

Search

Browse

My Space

Could market making be profitable in the European carbon market?

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

Simple record


URIhttp://purl.tuc.gr/dl/dias/0D7CDFCF-7999-4F61-B1AC-2D84C5C92D49-
Identifierhttps://doi.org/10.5547/01956574.40.SI1.egal-
Identifierhttps://www.iaee.org/energyjournal/article/3301-
Languageen-
Extent24 pagesen
TitleCould market making be profitable in the European carbon market?en
CreatorGalariotis, Emiliosen
CreatorKalaitzoglou Iordanisen
CreatorKosmidou, Kyriakien
CreatorPapaefthymiou Spyridonen
CreatorΠαπαευθυμιου Σπυριδωνel
CreatorSpyrou Spyros I.en
PublisherInternational Association for Energy Economicsen
Content SummaryWe 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
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Licensehttp://creativecommons.org/licenses/by/4.0/en
Date of Item2020-11-13-
Date of Publication2019-
SubjectEUA futuresen
SubjectUHF tradingen
SubjectIntraday price discoveryen
SubjectMarket makingen
Bibliographic CitationE. 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

Services

Statistics