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Ιδρυματικό Αποθετήριο [SANDBOX]
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| URI | http://purl.tuc.gr/dl/dias/0D7CDFCF-7999-4F61-B1AC-2D84C5C92D49 | - |
| Αναγνωριστικό | https://doi.org/10.5547/01956574.40.SI1.egal | - |
| Αναγνωριστικό | https://www.iaee.org/energyjournal/article/3301 | - |
| Γλώσσα | en | - |
| Μέγεθος | 24 pages | en |
| Τίτλος | Could market making be profitable in the European carbon market? | en |
| Δημιουργός | Galariotis, Emilios | en |
| Δημιουργός | Kalaitzoglou Iordanis | en |
| Δημιουργός | Kosmidou, Kyriaki | en |
| Δημιουργός | Papaefthymiou Spyridon | en |
| Δημιουργός | Παπαευθυμιου Σπυριδων | el |
| Δημιουργός | Spyrou Spyros I. | en |
| Εκδότης | International Association for Energy Economics | en |
| Περίληψη | 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 |
| Τύπος | Peer-Reviewed Journal Publication | en |
| Τύπος | Δημοσίευση σε Περιοδικό με Κριτές | el |
| Άδεια Χρήσης | http://creativecommons.org/licenses/by/4.0/ | en |
| Ημερομηνία | 2020-11-13 | - |
| Ημερομηνία Δημοσίευσης | 2019 | - |
| Θεματική Κατηγορία | EUA futures | en |
| Θεματική Κατηγορία | UHF trading | en |
| Θεματική Κατηγορία | Intraday price discovery | en |
| Θεματική Κατηγορία | Market making | en |
| Βιβλιογραφική Αναφορά | 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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