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Institutional Repository [SANDBOX]
Technical University of Crete
Technical University of Crete
EN
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EL
| URI | http://purl.tuc.gr/dl/dias/0D7CDFCF-7999-4F61-B1AC-2D84C5C92D49 | - |
| Identifier | https://doi.org/10.5547/01956574.40.SI1.egal | - |
| Identifier | https://www.iaee.org/energyjournal/article/3301 | - |
| Language | en | - |
| Extent | 24 pages | en |
| Title | Could market making be profitable in the European carbon market? | en |
| Creator | Galariotis, Emilios | en |
| Creator | Kalaitzoglou Iordanis | en |
| Creator | Kosmidou, Kyriaki | en |
| Creator | Papaefthymiou Spyridon | en |
| Creator | Παπαευθυμιου Σπυριδων | el |
| Creator | Spyrou Spyros I. | en |
| Publisher | International Association for Energy Economics | en |
| Content Summary | We 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 Item | Peer-Reviewed Journal Publication | en |
| Type of Item | Δημοσίευση σε Περιοδικό με Κριτές | el |
| License | http://creativecommons.org/licenses/by/4.0/ | en |
| Date of Item | 2020-11-13 | - |
| Date of Publication | 2019 | - |
| Subject | EUA futures | en |
| Subject | UHF trading | en |
| Subject | Intraday price discovery | en |
| Subject | Market making | en |
| Bibliographic Citation | E. 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.egal | en |
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