[HTML][HTML] Siphoned apart: A portfolio perspective on order flow segmentation

M Baldauf, J Mollner, BZ Yueshen - Journal of Financial Economics, 2024 - Elsevier
We study liquidity supply in fragmented markets. Market makers intermediate
heterogeneous order flows, trading off spread revenue against inventory costs. Applying our …

Information choice and amplification of financial crises

T Ahnert, A Kakhbod - The Review of Financial Studies, 2017 - academic.oup.com
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 …

Do investors save when market makers pay? Retail execution costs under payment for order flow models

S Adams, C Kasten, EK Kelley - Retail Execution Costs Under …, 2021 - papers.ssrn.com
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 …

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 …

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 …

An examination of the NYSE's retail liquidity program

PK Jain, JA Linna, TH McInish - The Quarterly Review of Economics and …, 2021 - Elsevier
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 …

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 …

[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 …

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 …