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Foucault, Thierry; Kozhan, Roman - HEC Paris (École des Hautes Études Commerciales) - 2014

another related asset due to information arrival. These opportunities are toxic because they expose liquidity suppliers to the …' response to these opportunities impair liquidity. The authors find support for these predictions using high frequency …

Persistent link: https://www.econbiz.de/10011147709

Trading Fees and Efficiency in Limit Order Markets

Colliard, Jean-Edouard; Foucault, Thierry - C.E.P.R. Discussion Papers - 2011

and takers on various measures of market liquidity. …

Persistent link: https://www.econbiz.de/10009024490

Equilibrium Fast Trading

Biais, Bruno; Foucault, Thierry; Moinas, Sophie - HEC Paris (École des Hautes Études Commerciales) - 2013

High-speed market connections and information processing improve …nancial institutions'ability to seize trading opportunities, which raises gains from trade. They also enable fast traders to process information before slow traders, which generates adverse selection. We fi…rst analyze trading...

Persistent link: https://www.econbiz.de/10010703402

Toxic Arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - C.E.P.R. Discussion Papers - 2014

value of another related asset due to information arrival. These opportunities are toxic because they expose liquidity … arbitrageurs' response to these opportunities impair liquidity. We find support for these predictions using high frequency …

Persistent link: https://www.econbiz.de/10011083979

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2005

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

Persistent link: https://www.econbiz.de/10010957222

Liquidity cycles and make/take fees in electronic markets

Foucault, Thierry; Kadan, Ohad; Kandel, Eugene - C.E.P.R. Discussion Papers - 2009

liquidity cycles. Monitoring decisions by market-makers and market-takers are self-reinforcing, generating multiple equilibria … with differing liquidity levels and duration clustering. The trading rate is typically maximized when makers and takers are … make/take fees, the trading rate, the bid-ask spread, and the effects of algorithmic trading on liquidity and welfare. …

Persistent link: https://www.econbiz.de/10008558587

Liquidity cycles and make/take fees in electronic markets

Foucault, Thierry; Kadan, Ohad; Kandel, Eugene - HEC Paris (École des Hautes Études Commerciales) - 2009

, generating high frequency make/take liquidity cycles. Monitoring decisions by market-makers and market-takers are self …-reinforcing, generating multiple equilibria with differing liquidity levels and duration clustering. The trading rate is typically maximized …

Persistent link: https://www.econbiz.de/10008458013

Does Anonymity Matter in Electronic Limit Order Markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Volkswirtschaftliche Fakultät, … - 2004

and market liquidity are different in each market design. We test these predictions using a natural experiment. As of …

Persistent link: https://www.econbiz.de/10005248997

Does Anonymity Matter in Electronic Limit Order Markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004

market liquidity are different in each market design. We test these predictions using a natural experiment. As of April 23 …

Persistent link: https://www.econbiz.de/10010333878

Limit Order Book as a Market for Liquidity

Foucault, Thierry; Kadan, Ohad; Kandel, Eugene - C.E.P.R. Discussion Papers - 2001

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must … patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained, and these patterns … execution delay in providing liquidity; their proportion in the population, which determines the degree of competition among the …

Persistent link: https://www.econbiz.de/10005114215