Menkveld, Menkveld, A.J. - Faculteit der Economische Wetenschappen, Erasmus … - 2001
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais et al. (2000), a … phenomenon increasingly witnessed in modern markets. The key assumption generating the results is that there is at least one … liquidity demander exploiting access to all markets by optimally splitting orders across markets. This paper seeks to test this …