Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò
arXiv 2 Feb 2026 · Econometrics · publishedJournal of Financial Markets (2025) · 7 citations (OpenAlex)
arXiv:2602.01817 · PDF · DOI · OpenAlex · Extracted main text
We study the trading activity of designated market makers (DMMs) in electronic markets using a unique dataset with audit-trail information on trader classification. DMMs may either adhere to their market-making agreements and offer immediacy during periods of heavy selling pressure, or they might lean-with-the-wind to profit from private information. We test these competing theories during extreme (downward) price movements, which we detect using a novel methodology. We show that DMMs provide liquidity when the selling pressure is concentrated on a single stock, but consume liquidity (leaving liquidity provision to slower traders) when several stocks are affected.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | K. Christensen and R. C. A. Oomen and R. Renò (2022) The drift burst hypothesis self | 0.969 | 11 | 4 | 91% |
| 2 | J. A. Brogaard and A. Carrion and T. Moyaert and R. Riordan and A. S… (2018) High frequency trading and extreme price movements | 0.902 | 15 | 4 | 73% |
| 3 | A. Kirilenko and A. S. Kyle and M. Samadi and T. Tuzun (2017) The Flash Crash: High frequency trading in an electronic market | 0.659 | 7 | 3 | 29% |
| 4 | M. K. Brunnermeier and L. H. Pedersen (2005) Predatory trading | 0.644 | 2 | 2 | 100% |
| 5 | NYSE–Euronext (2012) Euronext Cash Market, Info Flash of 26 January 2012 | 0.644 | 2 | 2 | 100% |
| 6 | V. van Kervel and A. J. Menkveld (2019) High-frequency trading around large institutional orders | 0.644 | 2 | 2 | 100% |
| 7 | L. Yang and H. Zhu (2020) Back-running: Seeking and hiding fundamental information in order flows | 0.644 | 2 | 2 | 100% |
| 8 | S. S. Lee and P. A. Mykland (2008) Jumps in financial markets: A new nonparametric test and jump dynamics | 0.511 | 2 | 2 | 50% |
| 9 | Autorité des Marchés Financiers (2017) Study of the behaviour of high-frequency traders on Euronext Paris | 0.405 | 1 | 1 | 100% |
| 10 | A. Anand and K. Venkataraman (2016) Market conditions, fragility, and the economics of market making | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 33 scored citations.