TY - JOUR T1 - Does Broker Competition in Liquidity Supply Matter? JF - The Journal of Trading SP - 96 LP - 115 DO - 10.3905/jot.2014.10.1.096 VL - 10 IS - 1 AU - Kristoffer Kevin Avila AU - Joel Fabre AU - Elvis Jarnecic Y1 - 2014/12/31 UR - https://pm-research.com/content/10/1/96.abstract N2 - This study introduces a new variable that measures the level of broker competition in terms of posted depth at the market price provided by liquidity suppliers. This variable is measured by a Herfindahl index and is added to the price-impact model, thus allowing it to be used for forecasting because it is ex ante to the initial trade. The variable is found to be negatively related to price impact, which suggests that liquidity providers herd against an incoming trader who is looking to execute a series of orders.TOPICS: Quantitative methods, exchanges/markets/clearinghouses ER -