Showing 1 - 10 of 198
We model a dynamic financial market where traders submit orders either to a limit order book (LOB) or to a Dark Pool (DP). We show that there is a positive liquidity externality in the DP, that orders migrate from the LOB to the DP, but that overall trading volume increases when a DP is...
Persistent link: https://www.econbiz.de/10008751331
Persistent link: https://www.econbiz.de/10014338286
We show that following a tick size reduction in a decimal public limit order book (PLB) market quality and welfare fall for illiquid but increase for liquid stocks. If a Sub-Penny Venue (SPV) starts competing with a penny-quoting PLB, market quality deteriorates for illiquid, low priced stocks,...
Persistent link: https://www.econbiz.de/10010227726
Persistent link: https://www.econbiz.de/10011279579
Persistent link: https://www.econbiz.de/10011814206
We model a public limit order book (PLB) with rational investors choosing to supply or demand liquidity. Following a reduction in the tick size the effects on PLB's market quality depend on the liquidity of the stocks. Spread improves for tick-constrained stocks and deteriorates for...
Persistent link: https://www.econbiz.de/10012101820
Recent evidence on electronic limit order markets shows a growing use of undisclosed orders. This paper offers a theory for the optimal submission strategy in a limit order book where traders simultaneously select price, quantity and exposure, and choose among limit, market, reserve (partially...
Persistent link: https://www.econbiz.de/10009001863
Persistent link: https://www.econbiz.de/10003995080
We develop a model where a public limit order book (PLB) competes with a Sub-Penny Venue, which allows Sub-Penny Trading (SPT). SPT occurs when a trader undercuts orders in the PLB by less than one penny, a practice we call queue-jumping (QJ). QJ is higher for NASDAQ than for NYSE stocks. We...
Persistent link: https://www.econbiz.de/10010227722
Persistent link: https://www.econbiz.de/10011334801