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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

The Microstructure of Stock Markets

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

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

This Paper studies the formation of opening prices for German and French stocks, simultaneously traded in Frankfurt and Paris. We analyse theoretically the case where investors and traders based in the same country as the firm have better information on its value than foreign traders. Our model...

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

We study the effects of sterilized intervention operations executed on behalf of the Swiss National Bank (SNB) using …) 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

Reputation-Based Pricing and Price Improvements in Dealership Markets

Desgranges, Gabriel; Foucault, Thierry - C.E.P.R. Discussion Papers - 2002

In many security markets, dealers trade with their regular clients at a discount relative to prevailing bid and ask quotes. In this article we provide an explanation to this phenomenon. We consider a dealer and an investor engaged in a long-term relationship. The dealer assigns a reputational...

Persistent link: https://www.econbiz.de/10005656185

Dominant Investors and Strategic Transparency

Perotti, Enrico C; von Thadden, Ernst-Ludwig - C.E.P.R. Discussion Papers - 1998

information collection in the financial market, and thereby corporate transparency, by affecting market liquidity or the cost of … make full use of the strategic advantage of a strong firm. We show that bank-controlled firms will tend to discourage … that bank control may fail to keep firms less transparent as global trading volumes rise. …

Persistent link: https://www.econbiz.de/10005114392

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