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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

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

Liquidity risk, speculative trade, and the optimal latency of financial markets : conference paper

Fricke, Daniel; Gerig, Austin - 2014

Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key element is missing: liquidity also depends on (3) an asset...

Persistent link: https://www.econbiz.de/10010484462

On frequent batch auctions for stocks

Jagannathan, Ravi - 2019

Persistent link: https://www.econbiz.de/10012128869

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

The Impact of Electronic Markets on B2b-Relationships

Haller, Jochen - 2014

Although most of the predicted consequences of the internet-revolution in the 90s did not become reality, the internet has lead to sustainable changes in the organization of most industries. In particular, this is true for business-to-business (B2B) relations between firm. An obvious 'proof' for...

Persistent link: https://www.econbiz.de/10014029330

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

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

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

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