برچسب: cost of liquidity
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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 […]