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Trader Anonymity, Price Formation and Liquidity

Theissen, Erik - 2002

with similarities to the floor of the NYSE. Our main hypothesis is that the non-anonymity allows the specialist to assess … pronounced than the quote adjustment after transactions at prices inside the spread. Our results indicate that anonymity comes at …

Persistent link: https://www.econbiz.de/10010263065

Floor versus Screen Trading : Evidence from the German Stock Market

THEISSEN, Erik - HEC Paris (École des Hautes Études Commerciales) - 1999

other hand, arguments based on the anonymity of electronic trading systems suggest that adverse selection may be a more …

Persistent link: https://www.econbiz.de/10005011665

Alternative Market Structures for Derivatives

Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003

In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also referred to as covered warrants, whose markets have grown rapidly around the world in recent years. While bank-issued option markets and traditional derivatives exchanges exhibit...

Persistent link: https://www.econbiz.de/10005413164

The Determinants of CDS Bid-ask Spreads

Wojtowicz, Marcin - 2014

We investigate the determinants of bid-ask spreads on corporate credit default swaps (CDSs). We find that proxies for dealer inventory costs such as variability of CDS premia and CDS trading volume explain as much as 80% of variation in CDS bid-ask spreads. We also analyze the influence of...

Persistent link: https://www.econbiz.de/10010491359

Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax

Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003

We study option market design by providing a theoretical motivation and comprehensive empirical analysis of two fundamentally different option market structures, the Eurex derivatives exchange and Euwax, the world’s largest market for bank-issued options. These markets exist side-by- side,...

Persistent link: https://www.econbiz.de/10005134941

Liquidity Supply across Multiple Trading Venues

Lescourret, Laurence; Moinas, Sophie - ESSEC Business School - 2015

Financial markets are increasingly fragmented. How to supply liquidity in this environment? Using an inventory model, we analyze how two strategic intermediaries compete across two venues that can be hit simultaneously by liquidity shocks of equal or opposite signs. Although order flow is...

Persistent link: https://www.econbiz.de/10011241694

The Determinants of CDS Bid-ask Spreads

Wojtowicz, Marcin - Tinbergen Instituut - 2014

Persistent link: https://www.econbiz.de/10011256084

The determinants of CDS bid-ask spreads

Wojtowicz, Marcin - 2014

Persistent link: https://www.econbiz.de/10010415519

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2005

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the … switch to anonymity in Euronext paris has significantly reduced the average quoted spread and the average effective spread …

Persistent link: https://www.econbiz.de/10010308662

Spoilt for choice: Order routing decisions in fragmented equity markets

Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016

design features, such as minimum tick size, immediacy and anonymity; market conditions, such as liquidity and volatility; and …

Persistent link: https://www.econbiz.de/10011533724