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Foucault And Lescourret-Information Sharing, Liquidity And Transaction Costs In Floor-Based Trading

Foucault And Lescourret-Information Sharing, Liquidity And Transaction Costs In Floor-Based Trading
Foucault And Lescourret-Information Sharing, Liquidity And Transaction Costs In Floor-Based Trading

InformationSharing,Liquid ity and Transac tionCostsinFloor-B ased Trad ing Systems. We c onsid er informationsharingb etw eentrad ers(\°oor b rokers”) w ho possessd i®erent typesofinformation,namelyinformationonthe payo® ofa riskysec urityor informationon the volume ofliquid itytrad inginthissecurity.We interpret these trad ersasd ual-c apac ity b rokersonthe °oor ofanexchange.We id entify cond itionsund er w hich the trad ersare […]

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Foucault And Kadan-Limit Order Book As A Market For Liquidity

InformationSharing,Liquid ity and Transac tionCostsinFloor-B ased Trad ing Systems. We c onsid er informationsharingb etw eentrad ers(\°oor b rokers") w ho possessd i®erent typesofinformation,namelyinformationonthe payo® ofa riskysec urityor informationon the volume ofliquid itytrad inginthissecurity.We interpret these trad ersasd ual-c apac ity b rokersonthe °oor ofanexchange.We id entify cond itionsund er w hich the trad ersare b etter o® sharing information. We also show that informationsharing improvespric e d isc overy, red uc esvolatility and low ersexpec ted trad ing c osts. Informationsharing c an improve or impair the d epth ofthe market, d epend ing onthe valuesofthe parameters. O verallour analysissuggeststhat informationsharing among°oor b rokersimprovesthe performanc e of°oor-b ased trad ingsystems

 

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  • عنوان مقاله : ...Foucault And Lescourret-Information Sharing
  • نوع فایل : PDF
  • حجم فایل : 360 کیلوبایت

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