英文标题：
《The behavior of dealers and clients on the European corporate bond
market: the case of Multi-Dealer-to-Client platforms》
---
作者：
Jean-David Fermanian, Olivier Gu\\\'eant, Jiang Pu
---
最新提交年份：
2017
---
英文摘要：
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.
---
中文摘要：
在过去20年中，大多数金融市场都经历了向电子化的演变。公司债券市场是最后一个遵循这条不可避免的道路的主要金融市场之一。传统上，公司债券市场以报价驱动（即交易商驱动）而非订单驱动，仍然主要以语音交易为主，但出现了许多电子平台。这些电子平台使得买方代理可以同时请求多个经销商报价，甚至可以直接与其他买方进行交易。本文中的研究基于一个大型专有报价请求数据库（RFQ），该数据库通过彭博固定收益交易（Bloomberg Fixed Income Trading）运营的多交易商对客户（MD2C）平台发送给欧洲公司债券的主要流动性提供者之一。我们的目标是（i）对这些平台上的RFQ流程以及由此产生的经销商之间的竞争进行建模，以及（ii）使用我们的模型，以便从RFQ数据库中隐含MD2C平台上经销商和客户的行为。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--

---
PDF下载：
-->