Looking into informal currency markets as Limit Order Books: impact of market makers
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866913720362336256 |
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| author | Figal, Alejandro García Castellanos, Alejandro Lage Mulet, Roberto |
| author_facet | Figal, Alejandro García Castellanos, Alejandro Lage Mulet, Roberto |
| contents | This study pioneers the application of the market microstructure framework to an informal financial market. By scraping data from websites and social media about the Cuban informal currency market, we model the dynamics of bid/ask intentions using a Limit Order Book (LOB). This approach enables us to study key characteristics such as liquidity, stability and volume profiles. We continue exploiting the Avellaneda-Stoikov model to explore the impact of introducing a Market Maker (MM) into this informal setting, assessing its influence on the market structure and the bid/ask dynamics. We show that the Market Maker improves the quality of the market. Beyond their academic significance, we believe that our findings are relevant for policymakers seeking to intervene informal markets with limited resources. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_03858 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Looking into informal currency markets as Limit Order Books: impact of market makers Figal, Alejandro García Castellanos, Alejandro Lage Mulet, Roberto Trading and Market Microstructure 91B26, 91B24 This study pioneers the application of the market microstructure framework to an informal financial market. By scraping data from websites and social media about the Cuban informal currency market, we model the dynamics of bid/ask intentions using a Limit Order Book (LOB). This approach enables us to study key characteristics such as liquidity, stability and volume profiles. We continue exploiting the Avellaneda-Stoikov model to explore the impact of introducing a Market Maker (MM) into this informal setting, assessing its influence on the market structure and the bid/ask dynamics. We show that the Market Maker improves the quality of the market. Beyond their academic significance, we believe that our findings are relevant for policymakers seeking to intervene informal markets with limited resources. |
| title | Looking into informal currency markets as Limit Order Books: impact of market makers |
| topic | Trading and Market Microstructure 91B26, 91B24 |
| url | https://arxiv.org/abs/2503.03858 |