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Biais, Bruno; Glosten, Larry; Spatt, Chester S - C.E.P.R. Discussion Papers - 2002

regulation of competition between liquidity suppliers or exchanges. …

Persistent link: https://www.econbiz.de/10005788974

The impact of dark trading and visible fragmentation on market quality

de Jong, Frank; Degryse, Hans; van Kervel, Vincent - C.E.P.R. Discussion Papers - 2011

paper evaluates the impact of dark trading and fragmentation in visible order books on liquidity. We consider global … liquidity by consolidating the limit order books of all visible trading venues, and local liquidity by considering the … traditional market only. We find that fragmentation in visible order books improves global liquidity, whereas dark trading has a …

Persistent link: https://www.econbiz.de/10009359491

Does Anonymity Matter in Electronic Limit Order Markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - C.E.P.R. Discussion Papers - 2003

We analyse the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which … cost of liquidity provision were large when indeed it is small. This bluffing strategy is less effective when traders … anonymous market. For this reason, concealing limit order traders’ IDs affects market liquidity in our model. We test this …

Persistent link: https://www.econbiz.de/10005666673

Bid-Ask Spreads with Indirect Competition among Specialists

Gehrig, Thomas; Jackson, Matthew O. - C.E.P.R. Discussion Papers - 1997

We examine the bid-ask quotes offered by specialists (or dealers) who face indirect competition from other specialists who trade in related assets. In the context of a simple model where investors have mean variance preferences, we characterize the equilibrium bids and asks quoted by K...

Persistent link: https://www.econbiz.de/10005504767

Imperfect Market Monitoring and SOES Trading

Foucault, Thierry; Röell, Ailsa A; Sandås, Patrik - C.E.P.R. Discussion Papers - 1999

We develop a model of price formation in a dealership market where monitoring of the information flow requires costly effort. The result is imperfect monitoring, which creates profit opportunities for speculators, who do not act as dealers but simply monitor the information flow and quote...

Persistent link: https://www.econbiz.de/10005791723

Strategic Behaviour and Price Discovery

Medrano, Luis Angel; Vives, Xavier - C.E.P.R. Discussion Papers - 1997

The paper analyses the effects of strategic behaviour by an insider in a price discovery process, akin to an information tâtonnement, in the presence of a competitive informed sector. Such processes are used in the pre-opening period of continuous trading systems in several exchanges. It is...

Persistent link: https://www.econbiz.de/10005124308

Price Discovery Across the Rhine

Biais, Bruno; Martinez, Isabelle - C.E.P.R. Discussion Papers - 2001

more e±cient than prices set on the foreign market. For German stocks, our empirical results are consistent with theory …

Persistent link: https://www.econbiz.de/10005136572

A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates

Payne, Richard; Vitale, Paolo - C.E.P.R. Discussion Papers - 2001

) temporarily reduces market liquidity. …

Persistent link: https://www.econbiz.de/10005497953

Intermediation in Innovation

Hoppe, Heidrun C.; Ozdenoren, Emre - C.E.P.R. Discussion Papers - 2005

The paper offers a new theoretical framework to examine the role of intermediaries between creators and users of new inventions. We find that uncertainty about the profitability of investing in new inventions generates a basis for intermediation. An intermediary may provide an opportunity to...

Persistent link: https://www.econbiz.de/10005498006

Order Flow Composition and Trading Costs in Dynamic Limit Order Markets

Foucault, Thierry - C.E.P.R. Discussion Papers - 1998

This paper provides a game theoretic model of price formation and order placement decisions in a dynamic limit order market. Investors can choose to post limit orders or to submit market orders. Limit orders result in better execution prices but face a risk of non-execution and a winner’s...

Persistent link: https://www.econbiz.de/10005504762

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