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Abad, David - 2011

to an alternative trading mechanism, a call auction, rather than a pure halt; (ii) the trading halt only lasts 5 minutes …

Persistent link: https://www.econbiz.de/10012757052

Bidder Behavior in Multi-Unit Auctions - Evidence from Swedish Treasury Auctions

Nyborg, Kjell G. - 2011

as the auction awards in over 400 Swedish Treasury auctions. First, we document that bidders vary their prices, bid …

Persistent link: https://www.econbiz.de/10012757347

There's More to Volatility than Volume

Gillemot, Laszlo - 2005

It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading,...

Persistent link: https://www.econbiz.de/10012736021

The 'Make or Take' Decision in an Electronic Market : Evidence on the Evolution of Liquidity

Bloomfield, Robert J. - 2004

This paper uses experimental asset markets to investigate the evolution of liquidity in an electronic limit order market. Our market setting includes salient features of electronic limit order markets, as well as informed traders and liquidity traders. We focus on the strategies of the traders,...

Persistent link: https://www.econbiz.de/10012739077

Underpricing and Market Power in Uniform Price Auctions

Kremer, Ilan - 2004

units awarded. The extant theory shows that these auctions are susceptible to arbitrarily large underpricing as a result of … it more realistic and are of empirical or normative interest. Underpricing is shown to be less severe than previously …

Persistent link: https://www.econbiz.de/10012739107

Portfolio Trading and Electronic Networks

Srinivasan, Sayee - 2004

Investors prefer to hold diversified combinations of assets. We take this dictum seriously and propose a bundle trading mechanism that would allow investors to trade diverse combinations of assets. The portfolio trading market is designed as an order-driven process where traders submit sealed...

Persistent link: https://www.econbiz.de/10012739214

Auctions and Posted Prices : Selling Treasury Bills

Van Cayseele, Patrick J. G. - 1999

In many countries, treasury bills are sold using an auction mechanism. In addition, the treasury also offers the bills … for sale after the auction, by posting a price equal to the winning bid in de preceeding auction. Only some players … (typically market makers) may buy at this price, and only up to a fraction of the volume that is sold in the auction. At all …

Persistent link: https://www.econbiz.de/10012743836

Why is Inter-Dealer Trading so Pervasive in Financial Markets?

Wang, James J. D. - 1998

This paper studies whether two-stage trading mechanisms that involve inter-dealer trading after a customer-dealer trade improve welfare over the one-shot settings traditionally analyzed in the market microstructure literature.A main finding of the paper is that two-stage trading dominates...

Persistent link: https://www.econbiz.de/10012744124

Market Architecture : Limit Order Books Versus Dealership Markets

Wang, James J. D. - 1998

We analyze the customer's choice with respect to a limit-order book, a dealership market, and a hybrid market structure. The customer's order is competed for and divided among risk averse market makers (limit-order providers) with heterogeneous inventories. Main conclusions of the paper are as...

Persistent link: https://www.econbiz.de/10012744125

Financing Auction Bids

Rhodes-Kropf, Matthew - 2013

? We characterize efficient auctions and show that in an efficient auction the information rent that a bidder earns depends … information rents that only depend on valuation. This tension between information rents in a efficient auction and zero profits in …

Persistent link: https://www.econbiz.de/10012712228