Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "16259"
  #_source: array:26 [
    "id" => "16259"
    "slug" => "16259-do-designated-market-makers-provide-liquidity-during-downward-extreme-price-movements"
    "yearMonth" => "2025-11"
    "year" => "2025"
    "title" => "Do designated market makers provide liquidity during downward extreme price movements?"
    "description" => "BELLIA, M., CHRISTENSEN, K., KOLOKOLOV, A., PELIZZON, L. et RENO, R. (2025). Do designated market makers provide liquidity during downward extreme price movements? <i>Journal of Financial Markets</i>, 76, pp. 100988."
    "authors" => array:5 [
      0 => array:3 [
        "name" => "RENO Roberto"
        "bid" => "B00798674"
        "slug" => "reno-roberto"
      ]
      1 => array:1 [
        "name" => "BELLIA Mario"
      ]
      2 => array:1 [
        "name" => "CHRISTENSEN Kim"
      ]
      3 => array:1 [
        "name" => "KOLOKOLOV Aleksey"
      ]
      4 => array:1 [
        "name" => "PELIZZON Loriana"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:4 [
      0 => "Designated market makers (DMMs)"
      1 => "Extreme price movements (EPMs)"
      2 => "High-frequency traders (HFTs)"
      3 => "Liquidity provision"
    ]
    "updatedAt" => "2026-03-17 17:04:57"
    "publicationUrl" => "https://doi.org/10.1016/j.finmar.2025.100988"
    "publicationInfo" => array:3 [
      "pages" => "100988"
      "volume" => "76"
      "number" => ""
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "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."
      "en" => "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."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d'Information, Data Analytics et Opérations"
      "en" => "Information Systems, Data Analytics and Operations"
    ]
    "indexedAt" => "2026-03-20T02:21:53.000Z"
    "docTitle" => "Do designated market makers provide liquidity during downward extreme price movements?"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/reno-roberto">RENO Roberto</a>, BELLIA Mario, CHRISTENSEN Kim, KOLOKOLOV Aleksey, PELIZZON Loriana"
    "docDescription" => "<span class="document-property-authors">RENO Roberto, BELLIA Mario, CHRISTENSEN Kim, KOLOKOLOV Aleksey, PELIZZON Loriana</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2025</span>"
    "keywordList" => "<a href="#">Designated market makers (DMMs)</a>, <a href="#">Extreme price movements (EPMs)</a>, <a href="#">High-frequency traders (HFTs)</a>, <a href="#">Liquidity provision</a>"
    "docPreview" => "<b>Do designated market makers provide liquidity during downward extreme price movements?</b><br><span>2025-11 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.finmar.2025.100988" target="_blank">Do designated market makers provide liquidity during downward extreme price movements?</a>"
  ]
  +lang: "en"
  +"_score": 8.779619
  +"_ignored": array:2 [
    0 => "abstract.en.keyword"
    1 => "abstract.fr.keyword"
  ]
  +"parent": null
}