Research method
Market making
Market making is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Signal
- Input
- Rule inputs, market state and execution constraints
- Horizon
- The system holding period
- Best use
- Make entry, exit and abstention rules testable as one procedure.
- Input: Rule inputs, market state and execution constraints.
- Output: signal.
- Use boundary: Make entry, exit and abstention rules testable as one procedure.
The archive
Where the method has been read
Read in the archive9 readings
1991Testing dealer inventory caps against a frozen order tape2001Displayed size, venue rules, and execution costs2004Opening auction envelopes and crutch pairs2005Electronic index futures: spread quotes that follow the tape2007Pairs, hedges, vanishing bids, and the cost of liquidity2008Opening auction, market making, and arbitrage as a capital business2012A transaction levy makes one-tick market making unexecutable2012Broken quotes as liquidity events2012Visible opening depth versus internalized subpenny priority
This registry entry describes a research method. It is not investment advice and does not make a performance claim.