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Dynamic order submission strategies with competition between a dealer market and a crossing network
Degryse, Hans; Van Achter, Mark; Wuyts, Gunther - 2007
: transparency, "complete" opaqueness of all order flow, and "partial" opaqueness (with observable DM trades). A key result is that … the interaction of trading systems generates systematic patterns in order flow for the transparency and partial opaqueness … settings. The precise nature of these patterns depends on the degree of transparency at the CN. While unambiguous with a …
Persistent link: https://www.econbiz.de/10011506642
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Dynamic order submission strategies with competition between a dealer market and a crossing network
Degryse, Hans; Van Achter, Mark; Wuyts, Gunther - 2007
: transparency, "complete" opaqueness of all order flow, and "partial" opaqueness (with observable DM trades). A key result is that … the interaction of trading systems generates systematic patterns in order flow for the transparency and partial opaqueness … settings. The precise nature of these patterns depends on the degree of transparency at the CN. While unambiguous with a …
Persistent link: https://www.econbiz.de/10011610388
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Dynamic order submission strategies with competition between a dealer market and a crossing network
Degryse, Hans; Achter, Mark Van; Wuyts, Gunther - Nationale Bank van België/Banque national de Belqique (BNB) - 2007
: transparency, "complete" opaqueness of all order flow, and "partial" opaqueness (with observable DM trades). A key result is that … the interaction of trading systems generates systematic patterns in order flow for the transparency and partial opaqueness … settings. The precise nature of these patterns depends on the degree of transparency at the CN. While unambiguous with a …
Persistent link: https://www.econbiz.de/10005060035
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Chapter 9. Market Microstructure
Stoll, Hans R. - 2003
Market microstructure deals with the purest form of financial intermediation – the trading of a financial asset, such as a stock or a bond. In a trading market, assets are not transformed but are simply transferred from one investor to another. The field of market microstructure studies the...
Persistent link: https://www.econbiz.de/10014023867
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Dynamic limit order market with diversity in trading horizons
van Achter, Mark - 2008
This paper considers a trading game in which sequentially arriving liquidity traders either opt for a market order or for a limit order. One class of traders is considered to have an extended trading horizon, implying their impatience is linked to their trading orientation. More specifically,...
Persistent link: https://www.econbiz.de/10010303755
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Dynamic limit order market with diversity in trading horizons
van Achter, Mark - Center for Financial Studies - 2008
This paper considers a trading game in which sequentially arriving liquidity traders either opt for a market order or for a limit order. One class of traders is considered to have an extended trading horizon, implying their impatience is linked to their trading orientation. More specifically,...
Persistent link: https://www.econbiz.de/10010958569
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Crossing Network versus Dealer Market: Unique Equilibrium in the Allocation of Order Flow
Dönges, Jutta; Heinemann, Frank; Daniëls, Tijmen R. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
The allocation of order flow to alternative trading systems can be understood as a game with strategic substitutes between buyers on the same side of the market, as well as one of positive network externalities. We consider the allocation of order flow between a crossing network and a dealer...
Persistent link: https://www.econbiz.de/10010603886
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Crossing network versus dealer market: Unique equilibrium in the allocation of order flow
Daniëls, Tijmen R.; Dönges, Jutta; Heinemann, Frank - In: European Economic Review 62 (2013) C, pp. 41-57
The allocation of order flow to alternative trading systems can be understood as a game with strategic substitutes between buyers on the same side of the market, as well as one of positive network externalities. We consider the allocation of order flow between a crossing network and a dealer...
Persistent link: https://www.econbiz.de/10011048635
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Crossing network versus dealer market: Unique equilibrium in the allocation of order flow
Dönges, Jutta; Heinemann, Frank; Daniëls, Tijmen R. - 2013
The allocation of order flow to alternative trading systems can be understood as a game with strategic substitutes between buyers on the same side of the market, as well as one of positive network externalities. We consider the allocation of order flow between a crossing network and a dealer...
Persistent link: https://www.econbiz.de/10010318753
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The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads
Choi, Sangyup - 2017
We find that data transparency policy reforms, reflected in subscriptions to the IMF's Data Standards Initiatives (SDDS …
Persistent link: https://www.econbiz.de/10012956482