Showing 1 - 10 of 10
We develop a tractable model of a limit order market where informed and liquidity investors compete with a professional liquidity provider who has a monitoring advantage. We apply our model to study the impact of exogenous transaction costs and investor patience on trading activity and market...
Persistent link: https://www.econbiz.de/10012853174
Persistent link: https://www.econbiz.de/10013266170
Latency delays - known as "speed bumps" - are an intentional slowing of order flow by exchanges. Supporters contend that delays protect market makers from high-frequency arbitrage, while opponents warn that delays promote "quote fading" by market makers. We construct a model of informed trading...
Persistent link: https://www.econbiz.de/10011814231
Trading activity surges associated with latency arbitrage are costly, as they lead to both lower liquidity and inefficient investments in order processing capacity that remains idle 90% of the time. A congestion message fee on liquidity-taking orders alleviates both concerns. The fee surges...
Persistent link: https://www.econbiz.de/10012052601
Latency delays — known as “speed bumps” — slow the execution of orders at an exchange, often to protect market makers against latency arbitrage. We study informed trading in a fragmented market, where one exchange introduces a latency delay on market orders. While liquidity improves at...
Persistent link: https://www.econbiz.de/10012854012
Persistent link: https://www.econbiz.de/10014466067
Facing increased competition, over the last decade many stock exchanges changed their trading fees to maker-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees on the Toronto Stock Exchange, we study whether and why...
Persistent link: https://www.econbiz.de/10013067287
Facing increased competition, over the last decade many stock exchanges changed their trading fees to maker-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees on the Toronto Stock Exchange, we study whether and why...
Persistent link: https://www.econbiz.de/10013068415
Facing increased competition, over the last decade many stock exchanges changed their trading fees to maker-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees on the Toronto Stock Exchange, we study whether and why...
Persistent link: https://www.econbiz.de/10012940459
As equity trading becomes predominantly electronic, is there still value to a traditional, intermediated dealer system? We address this question by comparing the impact of the organization of trading on volume, liquidity, and price efficiency in a quote-driven dealer market and in an...
Persistent link: https://www.econbiz.de/10013116280