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Parlour And Seppi-Liquidity-Based Competition For Order Flow

Parlour And Seppi-Liquidity-Based Competition For Order Flow
Parlour And Seppi-Liquidity-Based Competition For Order Flow

Order Flow We present a microstructure model of competition for order flow between exchanges based on liquidity provision. We find that neither a pure limit order market (PLM) nor a hybrid specialist/limit order market (HM) structure is competition-proof. A PLM can always be supported in equilibrium as the dominant market (i.e., where the hybrid limit […]

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Order Flow

We present a microstructure model of competition for order flow between exchanges based on liquidity provision. We find that neither a pure limit order market (PLM) nor a hybrid specialist/limit order market (HM) structure is competition-proof. A PLM can always be supported in equilibrium as the dominant market (i.e., where the hybrid limit book is empty), but an HM can also be supported, for some market parameterizations, as the dominant market. We also show the possible coexistence of competing markets. Order preferencing—that is, decisions about where orders are routed when investors are indifferent—is a key determinant of market viability. Welfare comparisons show that competition between exchanges can increase as well as reduce the cost of liquidity.

 

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  • عنوان مقاله : ...Parlour And Seppi-Liquidity-Based Competition
  • نوع فایل : PDF
  • حجم فایل : 450 کیلوبایت

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