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Financial exchanges provide incentives for limit order book (LOB) liquidityprovision to certain market participants, termed designated market makers ordesignated sponsors. While quoting requirements typically enforce the activityof these participants for a certain portion of the day, we argue that liquiditydemand throughout the trading day is far from uniformly distributed, and thusthis liquidity provision may not be calibrated to the demand. We propose thatquoting obligations also include requirements about the speed of liquidityreplenishment, and we recommend use of the Threshold Exceedance Duration (TED)for this purpose. We present a comprehensive regression modelling approachusing GLM and GAMLSS models to relate the TED to the state of the LOB andidentify the regression structures that are best suited to modelling the TED.Such an approach can be used by exchanges to set target levels of liquidityreplenishment for designated market makers.

Designating market maker behaviour in Limit Order Book markets