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In most illiquid markets, there is no obvious proxy for the market price ofan asset. The European corporate bond market is an archetypal example of suchan illiquid market where mid-prices can only be estimated with a statisticalmodel. In this OTC market, dealers / market makers only have access, indeed, topartial information about the market. In real time, they know the priceassociated with their trades on the dealer-to-dealer (D2D) and dealer-to-client(D2C) markets, they know the result of the requests for quotes (RFQ) theyanswered, and they have access to composite prices (e.g., Bloomberg CBBT). Thispaper presents a Bayesian method for estimating the mid-price of corporatebonds by using the real-time information available to a dealer. This methodrelies on recent ideas coming from the particle filtering / sequentialMonte-Carlo literature.

Mid-price estimation for European corporate bonds: a particle filtering approach