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Dynamic order submission strategies with competition between a dealer market and a crossing network
Degryse, Hans; Van Achter, Mark; Wuyts, Gunther - 2007
: transparency, "complete" opaqueness of all order flow, and "partial" opaqueness (with observable DM trades). A key result is that … the interaction of trading systems generates systematic patterns in order flow for the transparency and partial opaqueness … settings. The precise nature of these patterns depends on the degree of transparency at the CN. While unambiguous with a …
Persistent link: https://www.econbiz.de/10011506642
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Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network
Degryse, Hans; van Achter, M.; Wuyts, G. - Tilburg University, Tilburg Law and Economic Center - 2007
: transparency, “complete” opaqueness of all order flow, and “partial” opaqueness (with observable DM trades). A key result is that … the interaction of trading systems generates systematic patterns in order flow for the transparency and partial opaqueness … settings. The precise nature of these patterns depends on the degree of transparency at the CN. While unambiguous with a …
Persistent link: https://www.econbiz.de/10011093198
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Dynamic order submission strategies with competition between a dealer market and a crossing network
Degryse, Hans; Achter, Mark Van; Wuyts, Gunther - Nationale Bank van België/Banque national de Belqique (BNB) - 2007
: transparency, "complete" opaqueness of all order flow, and "partial" opaqueness (with observable DM trades). A key result is that … the interaction of trading systems generates systematic patterns in order flow for the transparency and partial opaqueness … settings. The precise nature of these patterns depends on the degree of transparency at the CN. While unambiguous with a …
Persistent link: https://www.econbiz.de/10005060035
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Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network
Degryse, Hans - 2010
: transparency, "complete" opaqueness of all order flow, and "partial" opaqueness (with observable DM trades). A key result is that … the interaction of trading systems generates systematic patterns in order flow for the transparency and partial opaqueness … settings. The precise nature of these patterns depends on the degree of transparency at the CN. While unambiguous with a …
Persistent link: https://www.econbiz.de/10013137531
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High frequency trading and the new-market makers
Menkveld, Albert J. - 2011 - This version: August 15, 2011
This paper links the recent fragmentation in equity trading to high frequency traders (HFTs). It shows how the success of a new market, Chi-X, critically depended on the participation of a large HFT who acts as a modern market-maker. The HFT, in turn, benefits from low fees in the entrant...
Persistent link: https://www.econbiz.de/10011386460
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Electronic Market Makers, Trader Anonymity and Market Fragility
Raman, Vikas - 2014
We investigate empirically the impact of electronic market-makers on the reliability and the consistency with which financial markets provide transactional liquidity services. Our analysis is based on proprietary intraday data from U.S. futures markets. We document results of considerable...
Persistent link: https://www.econbiz.de/10013053087
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Crossing network versus dealer market : unique equilibrium in the allocation of order flow
Dönges, Jutta; Heinemann, Frank; Danie͏̈ls, Tijmen R. - 2013
The allocation of order flow to alternative trading systems can be understood as a game with strategic substitutes between buyers on the same side of the market, as well as one of positive network externalities. We consider the allocation of order flow between a crossing network and a dealer...
Persistent link: https://www.econbiz.de/10009684675
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Pricing and Liquidity in Over-the-Counter Markets
Randall, Oliver - 2015
I show that if dealers are averse to holding inventory, then prices, liquidity, and dealers' inventory positions depend on inventory costs in negotiated over-the-counter markets. The solution to my dynamic equilibrium model rationalizes the following stylized facts in the US corporate bond...
Persistent link: https://www.econbiz.de/10013024827
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Strategic speed choice by high-frequency traders under speed bumps
Aoyagi, Jun - 2019
We study how high-frequency traders (HFTs) strategically decide their speed level in a market with a random speed bump. If HFTs recognize the market impact of their speed decision, they perceive a wider bid-ask spread as an endogenous upward-sloping cost of being faster. We find that the speed...
Persistent link: https://www.econbiz.de/10012024729
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Strategic Speed Choice by High-Frequency Traders under Speed Bumps
Aoyagi, Jun - 2019
We study how high-frequency traders (HFTs) strategically decide their speed level in a market with a random speed bump. If HFTs recognize the market impact of their speed decision, they perceive a wider bid-ask spread as an endogenous upward-sloping cost of being faster. We find that the speed...
Persistent link: https://www.econbiz.de/10012892475