Reinsurance Market Microstructure Casualty Actuarial Society再保险市场微观结构的保险精算师协会.pptVIP

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Reinsurance Market Microstructure Casualty Actuarial Society再保险市场微观结构的保险精算师协会.ppt

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Reinsurance Market Microstructure Casualty Actuarial Society再保险市场微观结构的保险精算师协会

Reinsurance Market Microstructure Don MangoGuy Carpenter Capital Market MicrostructureMajor Components* Price formation and discovery: how latent investor demands are translated into realized prices and volumes Market structure and design: relation between price formation and trading protocols Information and disclosure: transparency, ability of market participants to observe information about the trading process Continuous Double Auction Standard mechanism for price formation in most modern financial markets Two types of orders: Market orders – requests to buy or sell a given number of shares immediately at best available price (impatient traders) Limit orders – worst allowable price to transact with a time limit; not always immediately transacted, so stored in a queue known as an order book Continuous Double Auction Theoretical Order Book Continuous = no price gaps Deep = ability to satisfy any market order without price impact One such order book exists for each security Changes over time as quotes expire or are removed, or orders are filled Maximum depth = all available shares (stock) or notional outstanding (bonds) Quoting costs, herding effects limit the realistic range to be within certain bounds of Mid-Price I.e., not feasible to produce infinite quotes for all possible prices Focus on Realistic Range Actual Order Book Discrete not continuous = composed of individual quotes Each quote represents the willingness of an individual market participant (agent) to buy or sell Minimum Price increments = ticks Order book can be sparse (have gaps) Market makers are supposed to fill out gaps in order book, but this can be costly if they have to keep position net Transaction occurs when a Sell Order can be matched to a Buy Order Liquidity Crisis = Sell Off Not enough Buyers anywhere near the Mid-Price Sellers have two choices: Be patient = hold their Asking price constant, wait for market to stabilize and liquidity to return (temporary market failure) Lower their Ask