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Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebirogly, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2017
between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …
Persistent link: https://www.econbiz.de/10011697233
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Optimal trade execution under endogenous order flow
Chen, Ying; Hoang Hai Tran; Horst, Ulrich - 2023
We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk...
Persistent link: https://www.econbiz.de/10014476807
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What is the value of retail order flow?
Hoffmann, Peter; Jank, Stephan - 2024
This paper uses regulatory data to assess the value of retail order flow in the German equity market. To this end, we examine the performance of specialized retail market makers (RMMs) that internalize a large share of retail activity via affiliated trading venues. We show that retail market...
Persistent link: https://www.econbiz.de/10015048481
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Banks' strategic interaction, adverse price dynamics and systemic liquidity risk
Krüger, Ulrich; Roling, Christoph; Silbermann, Leonid; … - 2022
In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …
Persistent link: https://www.econbiz.de/10012888139
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Dynamic screening with verifiable bankruptcy
Krähmer, Daniel; Strausz, Roland - 2022
We consider a dynamic screening model where the agent may go bankrupt due to, for example, cash constraints. We model bankruptcy as a verifiable event that occurs whenever the agent makes a per period loss. This leads to less stringent truth-telling constraints than those considered in the...
Persistent link: https://www.econbiz.de/10014476119
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The price impact of CDS trading
Gündüz, Yalın; Nasev, Julia; Gehde-Trapp, Monika - 2013
In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...
Persistent link: https://www.econbiz.de/10009751104
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Trading under market impact : crossing networks interacting with dealer markets
Bielagk, Jana; Horst, Ulrich; Moreno-Bromberg, Santiago - 2017
We use a model with agency frictions to analyze the structure of a dealer market that faces competition from a crossing network. Traders are privately informed about their types (e.g. their portfolios), which is something the dealer must take into account when engaging his counterparties....
Persistent link: https://www.econbiz.de/10011705180
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OTC discount
Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2019
We study price dispersion and venue choice in the interdealer market for German sovereign bonds, where an exchange and over-the-counter segments coexist. We show that 85% of OTC traded prices are favorable with respect to exchange quotes, indicating the prevalence of an OTC discount. This...
Persistent link: https://www.econbiz.de/10012125222
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Liquidity in the German corporate bond market : has the CSPP made a difference?
Boneva, Lena; Islami, Mevlud; Schlepper, Kathi - 2021
Purchase Programme (CSPP). Did these purchases lead to a deterioration of liquidity conditions in the corporate bond market … Bundesbank's detailed CSPP purchase records with a range of liquidity indicators for both purchased and nonpurchased bonds. We … find that while the flow of purchases supported secondary market liquidity, liquidity conditions deteriorated in the long …
Persistent link: https://www.econbiz.de/10012489578
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Lighting up the dark : liquidity in the German corporate bond market
Gündüz, Yalın; Pelizzon, Loriana; Schneider, Michael; … - 2021
We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third ….S. Our results support the notion that, while market liquidity is generally higher in transparent markets, a subset of bonds …
Persistent link: https://www.econbiz.de/10012589378