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Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2014

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity suppliers face a trade-off between benefits and costs of order exposure. If they display trading intentions, they attract additional trade demand. We show, in equilibrium,...

Persistent link: https://www.econbiz.de/10010411280

An international trend in market design : endogenous effects of limit order book transparency on volatility, spreads, depth and volume

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Impact of the change in Tick size on transaction costs and liquidity : an empirical investigation of the Taiwan Stock Exchange

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Persistent link: https://www.econbiz.de/10009231515

The more transparent, the better? : effects of transparency regime changes on large/actively traded stocks on the Korea exchange

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Persistent link: https://www.econbiz.de/10009682595

A tale of three cities : is an electronic public order book appropriate for transition economies?

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Persistent link: https://www.econbiz.de/10003747245

Heavy-tailed features and dependence in limit order book volume profiles in futures markets

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Persistent link: https://www.econbiz.de/10011403201

The implications of a price anchoring effect at the upstairs market of the London Stock Exchange

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Persistent link: https://www.econbiz.de/10010461347

Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel

Freihube, Thorsten - 2004

Persistent link: https://www.econbiz.de/10002122262

Modelling financial transaction price movements : a dynamic integer count data model

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Persistent link: https://www.econbiz.de/10003233759

Liquidity supply and adverse selection in a pure limit order book market

Frey, Stefan; Grammig, Joachim - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 1007-1033

Persistent link: https://www.econbiz.de/10003233832