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	Does the market maker stabilize the market?
	Zhu, Mei ; Chiarella, Carl ; He, Xue-Zhong ; Wang, Duo
	2009
关键词	Market maker Inventory Speculators Market stability ASSET-PRICING MODEL STOCK-MARKET EMPIRICAL-ANALYSIS FINANCIAL-MARKETS RATIONAL ROUTE HERD BEHAVIOR DYNAMICS HETEROGENEITY INVENTORIES EXCHANGE
英文摘要	The market maker plays an important role in price formation, but his/her behavior and stabilizing impact on the market are relatively unclear, in particular in speculative markets. This paper develops a financial market model that examines the impact on market stability of the market maker, who acts as both a liquidity provider and an active investor in a market consisting of two types of boundedly rational speculative investors-the fundamentalists and trend followers. We show that the market maker does not necessarily stabilize the market when he/she actively manages the inventory to maximize profits, and that rather the market maker's impact depends on the behavior of the speculators. Numerical simulations show that the model is able to generate outcomes for asset returns and market inventories that are consistent with empirical findings. (C) 2009 Elsevier B.V. All rights reserved.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000267149200015&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Physics, Multidisciplinary; SCI(E); EI; SSCI; 12; ARTICLE; 15-16; 3164-3180; 388
语种	英语
出处	EI ; SCI
出版者	physica a statistical mechanics and its applications
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/157753]
专题	数学科学学院
推荐引用方式 GB/T 7714	Zhu, Mei,Chiarella, Carl,He, Xue-Zhong,et al. Does the market maker stabilize the market?. 2009-01-01.

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