Narrow search
Showing 1 - 10 of 230,481
Cover Image
Adverse Selection in Electronic Markets : Evidence from Online Stamp Auctions
Dewan, Sanjeev; Hsu, Vernon - 2014
matched stamps at a specialty stamps auction site in the U.S., Michael Rogers, Inc. (MR), which we know has low quality … has an economically modest, although statistically significant, effect on auction price and probability of sale …
Persistent link: https://www.econbiz.de/10014028596
Cover Image
Improved Auction Price Mechanism for Electronic Security Trading Platform
Li, Xi Hao - 2012
By reviewing the current Xetra auction price mechanism and analyzing its economic properties, we discover that Xetra … auction price is generically non market-clearing and that only limit prices are considered as Xetra auction price, which … prevents a market-clearing price but not a limit price from being Xetra auction price even when this situation exists in the …
Persistent link: https://www.econbiz.de/10013115759
Cover Image
Vestigial Tails? Floor Brokers at the Close in Modern Electronic Markets
Hu, Edwin - 2020
Closing auction volume is steadily increasing on NYSE and Nasdaq, and now represents over 10% of trading volume. The … NYSE closing auction design is highly advantageous to NYSE floor brokers, who have near-exclusive access to the auction … from 3:50 pm to 4:00 pm. We show that closing auction quality, as measured by the accuracy of closing auction information …
Persistent link: https://www.econbiz.de/10012834190
Cover Image
When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?
Vogel, Sebastian - 2019
I study a hybrid over-the-counter (OTC) market structure in which traders have the choice of obtaining an asset from dealers either in a bilateral market or on an electronic trading platform. In a hybrid market (HM), turnover is higher and traders are better off than in a pure bilateral market...
Persistent link: https://www.econbiz.de/10012902468
Cover Image
The Impact of Large Orders in Electronic Markets
Murgia, Maurizio - 2018
We examine both displayed and non-displayed orders sent by all investors to the electronic central limit order book of the Italian stock exchange Borsa Italiana (BI). Extant literature relies on trades as basic level of observation for the lack of data. Our unique dataset enables us to...
Persistent link: https://www.econbiz.de/10012910326
Cover Image
The Impact of Large Orders in Electronic Markets
Bosetti, Luisella - 2018
This paper uses order-level data of all investors of the Italian stock exchange Borsa Italiana (BI) to resolve three issues that remained unsettled in the extant microstructure literature: the interaction between the exchange and a parallel market for large blocks; the asymmetry between the...
Persistent link: https://www.econbiz.de/10012937831
Cover Image
An Analysis of Pricing Models in the Electronic Book Market
Hao, Lin - 2014
In this paper, we develop a game theoretic model to study the pricing of e-books and e-readers under two pricing models: the wholesale and the agency models. We analyze pricing strategies for a publisher and a retailer. We identify the complementary relationship between e-books and e-reader as...
Persistent link: https://www.econbiz.de/10013061403
Cover Image
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
Cover Image
Statistical Predictions of Trading Strategies in Electronic Markets
Cartea, Álvaro; Cohen, Samuel N.; Graumans, Rob; … - 2023
We build statistical models to describe how market participants choose the direction, price, and volume of orders. Our dataset, which spans sixteen weeks for four shares traded in Euronext Amsterdam, contains all messages sent to the exchange and includes algorithm identification and member...
Persistent link: https://www.econbiz.de/10014354687
Cover Image
Transparency in Electronic Markets : A Unified Framework
Turan, Mehmet - 2009
The objective of this paper is twofold. First, we address the consequences of electronic marketplaces in different industries or industry sectors by reviewing the previous literature. The impact of the transformation from hierarchies to marketplaces on market efficiencies will be discussed....
Persistent link: https://www.econbiz.de/10014209172