When price competition is constrained by tick size, speed allocates the resources due to the time priority rule. We demonstrate three implications of competition in speed. 1) We find more high frequency liquidity provision for lower price stocks with high market cap, where the one cent tick size...

This paper proposes the first tractable rational expectation equilibrium model that includes both endogenous price and endogenous execution probability. I use the model to examine the market outcome when the informed trader can split trades between an exchange and a crossing network (dark pool)...

We analyze how a large informed trader chooses between a lit exchange and a dark pool. We show that (1) the market share of the dark pool increases when the informed trader trades; (2) the market share of the dark pool increases more when the value of information is higher; and (3) price...