标题： 限价订单簿市场中的做市商行为识别 显示英文标题

标题： Designating market maker behaviour in Limit Order Book markets

摘要： 金融交易所为限价订单簿(LOB)的流动性提供者提供激励措施，以鼓励某些市场参与者，称为指定做市商或指定赞助商。 虽然报价要求通常强制这些参与者在一天的一定时间内进行活动，但我们认为，交易日内的流动性需求远非均匀分布，因此这种流动性提供可能并未与需求相匹配。 我们建议，报价义务还应包括关于流动性补充速度的要求，并建议使用阈值超越持续时间(TED)来实现这一目的。 我们提出了一种全面的回归建模方法，使用广义线性模型(GLM)和广义可加模型平滑结构(GAMLSS)来将TED与LOB的状态相关联，并确定最适合建模TED的回归结构。 这种方法可以被交易所用来为指定做市商设定流动性补充的目标水平。 显示英文摘要

摘要： Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors. While quoting requirements typically enforce the activity of these participants for a certain portion of the day, we argue that liquidity demand throughout the trading day is far from uniformly distributed, and thus this liquidity provision may not be calibrated to the demand. We propose that quoting obligations also include requirements about the speed of liquidity replenishment, and we recommend use of the Threshold Exceedance Duration (TED) for this purpose. We present a comprehensive regression modelling approach using GLM and GAMLSS models to relate the TED to the state of the LOB and identify the regression structures that are best suited to modelling the TED. Such an approach can be used by exchanges to set target levels of liquidity replenishment for designated market makers.