This paper studies the impact of contracted market makers by investigating the liquidity provider scheme in Sweden. The results show that the stocks become more liquid after the introduction of the contracted market makers. The liquidity improvement is explained by reduced order processing cost...

Fast trading and fragmentation of volume make equity markets complex, leading retail and institutional investors to demand sophisticated brokerage services. In a sample of stock transactions in Swedish large-cap firms, we find that brokers who show high trading sophistication when trading their...

This paper investigates how the introduction of a closing call auction in the OMXS 30 index futures market influences market quality and price accuracy. Index futures markets are characterized by traders with no or little private information. Limit order book models where trader patience (rather...

We investigate the economic rationale behind limit order cancellations from the perspective of liquidity suppliers. We predict that an order is cancelled whenever its expected revenue no longer exceeds the expected cost and we model how order profitability variation can be determined from...