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Spoilt for choice : order routing decisions in fragmented equity markets
Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016 - This draft: August 2016
The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent … of new trading venues and significant changes in the market shares of existing ones. We use an extensive panel dataset … from the European equity markets to analyze the market shares of five categories of lit and dark trading mechanisms. Market …
Persistent link: https://www.econbiz.de/10011533420
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Spoilt for choice : order routing decisions in fragmented equity markets
Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016 - This draft: August 2016
The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent … of new trading venues and significant changes in the market shares of existing ones. We use an extensive panel dataset … from the European equity markets to analyze the market shares of five categories of lit and dark trading mechanisms. Market …
Persistent link: https://www.econbiz.de/10011539236
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Internalisierung und Marktqualität: Was bringt Xetra Best?
Theissen, Erik - 2002
Deutsche Börse AG plans to introduce a system (Xetra Best) allowing brokers and brokerdealers to internalize the orders of retail customers. Further, Xetra Best supports payment for order flow arrangements. Both internalization and payment for order flow may be detrimental to market quality....
Persistent link: https://www.econbiz.de/10010298231
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Competition between exchanges: Euronext versus Xetra
Kasch-Haroutounian, Maria; Theissen, Erik - 2006
independent exchanges. A decision for one of the groups entails a decision for the respective trading platform. Against that … background we evaluate the attractiveness of the two dominant continental European trading systems. Though both are anonymous … electronic limit order books, there are important differences in the trading protocols. We use a matched-sample approach to …
Persistent link: https://www.econbiz.de/10010298368
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Liquidity dynamics in an electronic open limit order book: An event study approach
Gomber, Peter; Schweickert, Uwe; Theissen, Erik - 2011
We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics,...
Persistent link: https://www.econbiz.de/10010306859
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Does Anonymity Matter in Electronic Limit Order Markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004
Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004: We develop a model of limit order trading in …
Persistent link: https://www.econbiz.de/10010333878
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
Persistent link: https://www.econbiz.de/10012026516
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Competition between equity markets: A review of the consolidation versus fragmentation debate
Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016
trading landscape in several markets around the world. While these changes have coincided with benefits like reduced … transaction costs, advancements in trading technology, and access to a diverse array of execution venues, regulators and market … competition between trading venues. …
Persistent link: https://www.econbiz.de/10012064260
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Trader Anonymity, Price Formation and Liquidity
Theissen, Erik - 2002
Using data from the Frankfurt Stock Exchange we analyze price formation and liquidity in a non-anonymous environment with similarities to the floor of the NYSE. Our main hypothesis is that the non-anonymity allows the specialist to assess the probability that a trader trades on the basis of...
Persistent link: https://www.econbiz.de/10010263065
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Estimating the Probability of Informed Trading: Does Trade Misclassification Matter?
Grammig, Joachim G.; Theissen, Erik - 2002
probability of informed trading and that has subsequently been used to address a wide range of issues in market microstructure … biased estimation of the probability of informed trading when applying the EKOP methodology. The estimate is biased downward … and the magnitude of the bias is related to the trading intensity of the stock in question. Scrutinizing prior empirical …
Persistent link: https://www.econbiz.de/10010274034