Estimation of liquidity-providing costs with tick-by-tick transaction data

我们研究了东京证券交易所（TSE）的证券公司作为做市商的角色，为市场提供流动性。虽然东京证券交易所没有指定的做市商，但证券公司通过自己的账户买卖来干预交易，以赚取利润。通过记录所有交易和限价订单簿中的变化的逐点数据，我们捕获了这种以利润为导向、提供流动性的活动的成本。东京证交所是一个纯粹的订单驱动型市场。执行是通过将限价订单与进入市场的订单相匹配来执行的。前一种类型的订单是已经在指定的限价簿上放置的订单，但它们没有任何执行保证。后一种类型没有指定的执行价格，但如果有限价订单等待，将立即执行。当投资者选择一种订单类型时，他们会权衡价格收益与可能损失的交易机会。我们估计了限价单的执行概率，以找到证据表明交易者很好地理解影响其执行优先级的限价单因素的含义。我们在一次国际会议上发表了研究结果（Omura, Tanigawa, and Uno[2001]），并作为一本书的章节发表（Uno et al.[2002]）。Tanigawa[2002]研究了市场流动性与市场微观结构特征之间的关系。午餐时段篮子交易值得特别调查，因为证券公司总是干预以提供市场流动性。我们考察了午间拍卖的竞争情况，以及随后在拍卖中交易的股票的交易情况，发现东京证券交易所场内的流动性是证券公司积极行动的最重要因素。在一次学术会议上展示了这一结果后，我们正在准备提交修改后的结果。

We study the roles of securities houses in the Tokyo Stock Exchange (TSE) as a market maker who provides liquidity to the market. Although there is no designated market maker in the TSE, securities houses interfere with transactions through buying and selling on their own account in order to earn profit. With tick-by-tick data that record all transactions and the changes in the limit order book, we capture the cost of such profit-oriented, liquidity providing activities.The TSE is a pure order-driven market. Executions are carried out by matching limit orders with incoming market orders. The former type of orders is ones that have been placed on the book with a designated limit price, but they have any guarantee for execution. The latter type has no specified execution price, but will be executed immediately if there are limit orders waiting. When investors choose a type of an order, they weigh the price gain versus the possible loss of trading opportunity. We estimate execution probabilities of limit orders to find evidences that traders well understand the implications of the factors of limit orders that affect the priorities for their execution. We present the results at an international conference (Omura, Tanigawa, and Uno [2001]), and published as a chapter in a book (Uno et al.[2002]). The relationships between market liquidity and characteristics of market microstructure are surveyed in Tanigawa [2002].Lunchtime basket trades deserve special investigation, for securities houses always interfere to provide market liquidity. We examined the competition in the lunchtime auction and the following transactions for the stocks traded at the auction, to find liquidities on the TSE floor are the most important factor for aggressiveness of the securities houses. After presenting this result at an academic conference, we are now in the process of preparation for submission with revised results.