The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
Olivier Gu\'eant and
Papers from arXiv.org
For the last two decades, most financial markets have undergone an evolution toward electronification. The market for corporate bonds is one of the last major financial markets to follow this unavoidable path. Traditionally quote-driven i.e., dealer-driven) rather than order-driven, the market for corporate bonds is still mainly dominated by voice trading, but a lot of electronic platforms have emerged. These electronic platforms make it possible for buy-side agents to simultaneously request several dealers for quotes, or even directly trade with other buy-siders. The research presented in this article is based on a large proprietary database of requests for quotes (RFQ) sent, through the multi-dealer-to-client (MD2C) platform operated by Bloomberg Fixed Income Trading, to one of the major liquidity providers in European corporate bonds. Our goal is (i) to model the RFQ process on these platforms and the resulting competition between dealers, and (ii) to use our model in order to implicit from the RFQ database the behavior of both dealers and clients on MD2C platforms.
New Economics Papers: this item is included in nep-mst
Date: 2015-11, Revised 2017-03
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1511.07773 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1511.07773
Access Statistics for this paper
More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().