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

我们研究东京证券交易所（TSE）中证券公司作为市场创造者为市场提供流动性的角色。台湾证交所虽然没有指定的做市商，但证券商为了赚取利润，通过自营买卖干预交易。通过记录所有交易和限价盘交易簿中的变化的逐点数据，我们可以捕捉到这种以利润为导向的流动性提供活动的成本。东京证交所是一个纯粹的订单驱动市场。执行是通过将限价订单与传入的市价订单相匹配来执行的。前一种订单是那些已经被放置在书上指定的限制价格，但他们有任何保证执行。后一种类型没有指定的执行价格，但如果有限价订单等待，则会立即执行。当投资者选择一种类型的订单时，他们会权衡价格收益与交易机会的可能损失。我们估计限价订单的执行概率，以发现交易者很好地理解限价订单的因素，影响其执行的优先级的含义的证据。我们在一个国际会议上提出了结果（Omura，Tanigawa和Uno [2001]），并作为一个章节出版在一本书中（Uno et al. [2002年]）。Tanigawa [2002]对市场流动性与市场微观结构特征的关系进行了研究。午餐篮子交易值得特别研究，因为证券公司总是干预市场流动性。我们研究了午餐时间拍卖的竞争和随后的拍卖中交易的股票交易，发现东京证交所场内的流动性是证券公司积极性的最重要因素。在一次学术会议上介绍了这一结果后，我们现在正在准备提交修订后的结果。

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.