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Limit order markets : a survey

Parlour, Christine A.; Seppi, Duane J. - In: Handbook of financial intermediation and banking, (pp. 63-96). 2008

Persistent link: https://www.econbiz.de/10003729502

Liquidity-based competition for order flow

Parlour, Christine A.; Seppi, Duane J. - In: The review of financial studies 16 (2003) 2, pp. 301-343

Persistent link: https://www.econbiz.de/10001764232

Liquidity-Based Competition for Order Flow

Seppi, Duane J. - 1998

We present a microstructure model of competition between exchanges for order flow based on liquidity provision. Different pairings of pure limit order markets (PLM) and hybrid specialist/limit order markets (HM) are considered. We find that neither a pure nor a hybrid market structure is...

Persistent link: https://www.econbiz.de/10012790396

Liquidity Based Competition for Order Flow

Parlour, Christine A.; Seppi, Duane J. - Carnegie Mellon University, Tepper School of Business

Persistent link: https://www.econbiz.de/10005029170

Liquidity-Based Competition for Order Flow

Parlour, Christine A.; Seppi, Duane J. - In: Review of Financial Studies 16 (2003) 2, pp. 301-343

We present a microstructure model of competition for order flow between exchanges based on liquidity provision. We find that neither a pure limit order market (PLM) nor a hybrid specialist-limit order market (HM) structure is competition-proof. A PLM can always be supported in equilibrium as the...

Persistent link: https://www.econbiz.de/10005577974