Trading networks and liquidity provision

• 成果类型: Article
• 署名作者: Cohen-Cole, Ethan; Kirilenko, Andrei; Patacchini, Eleonora
• 署名单位: Massachusetts Institute of Technology (MIT); Syracuse University; Sapienza University Rome
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.04.007
• 发表日期: 2014
• 页码: 235-251
• 关键词: Financial interconnections; contagion; Spatial autoregressive models; Network centrality; Trading limits

摘要

We study the profitability of traders in two fully electronic and highly liquid markets: the Dow and Standard & Poor's 500 e-mini futures markets. Using unique information that identify counterparties to a transaction, we show and seek to explain the fact that the network pattern of trades captures the relations between behavior in the market and returns. Our approach includes a simple representation of how much a shock is amplified by the network and how widely it is transmitted. This representation provides a possible shorthand for understanding the consequences of a fat-finger trade, a withdrawing of liquidity, or other market shock. (C) 2014 Elsevier B.V. All rights reserved.