[HTML][HTML] Siphoned apart: A portfolio perspective on order flow segmentation
We study liquidity supply in fragmented markets. Market makers intermediate
heterogeneous order flows, trading off spread revenue against inventory costs. Applying our …
heterogeneous order flows, trading off spread revenue against inventory costs. Applying our …
Information choice and amplification of financial crises
We propose an amplification mechanism of financial crises based on the information
choices of investors. Information acquisition makes investors more likely to act against their …
choices of investors. Information acquisition makes investors more likely to act against their …
Do investors save when market makers pay? Retail execution costs under payment for order flow models
We directly compare retail investor execution costs with exchange execution costs. We find
off-exchange retail trades execute at lower effective spreads than comparable exchange …
off-exchange retail trades execute at lower effective spreads than comparable exchange …
Intelligent Inventory Management for Cryptocurrency Brokers
C Felder, J Seemüller - Proceedings of the Third ACM International …, 2022 - dl.acm.org
In equity trading, internalization is the predominant execution method for uninformed order
flow, allowing retail brokers to realize cost savings and thereby offer price improvements to …
flow, allowing retail brokers to realize cost savings and thereby offer price improvements to …
Retail Order Execution Quality under Zero Commissions
S Adams, C Kasten - Available at SSRN 3779474, 2021 - papers.ssrn.com
Using rule 605 reports from major market makers that receive retail order flow, we examine
the impact of zero-commission trades on order execution quality. We find that the effective …
the impact of zero-commission trades on order execution quality. We find that the effective …
An examination of the NYSE's retail liquidity program
Abstract The NYSE's Retail Liquidity Program (RLP) is a novel, restricted-access venue, in
which orders cannot originate from a trading algorithm or any other computer methodology …
which orders cannot originate from a trading algorithm or any other computer methodology …
Essays in Financial Economics
A Kakhbod - 2021 - dspace.mit.edu
This thesis contains four chapters on liquidity, financial crisis, dynamic pricing and optimal
contracting with externalities. The first chapter studies how transparency (information …
contracting with externalities. The first chapter studies how transparency (information …
[PDF][PDF] FTG Working Paper Series
W Fuchs, F Bova - financetheory.org
We incorporate a search-theoretic model of imperfect competition into an otherwise standard
model of asymmetric information with unrestricted contracts. We develop a methodology that …
model of asymmetric information with unrestricted contracts. We develop a methodology that …
Essays in Market Structure and Liquidity
AJ Walton - 2016 - search.proquest.com
Market structure concerns the mechanisms for negotiating trades and the composition of
trading participants, and can affect liquidity and price efficiency. More gains from trade can …
trading participants, and can affect liquidity and price efficiency. More gains from trade can …