The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms

Jean-David Fermanian (jean-david.fermanian@ensae.fr), Olivier Guéant and Jiang Pu
Additional contact information
Jean-David Fermanian: ENSAE-CREST
Jiang Pu: LPMA, Université Paris-Diderot

No 2016-34, Working Papers from Center for Research in Economics and Statistics

Abstract: For the last two decades, most nancial markets have undergone an evolution toward electroni cation. The market for corporate bonds is one of the last ma jor nancial 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 ma jor 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.

Pages: 34
Date: 2016-10
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms (2016)
Working Paper: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms (2016)
Working Paper: The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms (2016)
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