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Market architecture: limit-order books versus dealership markets

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  • Viswanathan, S.
  • Wang, James J. D.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 5 (2002)
Issue (Month): 2 (April)
Pages: 127-167

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Handle: RePEc:eee:finmar:v:5:y:2002:i:2:p:127-167

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Web page: http://www.elsevier.com/locate/finmar

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References

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  1. Bruno Biais & David Martimort & Jean-Charles Rochet, 2000. "Competing Mechanisms in a Common Value Environment," Econometrica, Econometric Society, Econometric Society, vol. 68(4), pages 799-838, July.
  2. Pirrong, Craig, 1999. "The organization of financial exchange markets: Theory and evidence," Journal of Financial Markets, Elsevier, Elsevier, vol. 2(4), pages 329-357, November.
  3. Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-61, September.
  4. Bernhardt, Dan & Hughson, Eric, 1997. "Splitting Orders," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 69-101.
  5. Back, Kerry & Zender, Jaime F, 1993. "Auctions of Divisible Goods: On the Rationale for the Treasury Experiment," Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 733-64.
  6. Degryse, H.A., 1996. "The total cost of trading Belgian shares: Brussels versus London," Discussion Paper, Tilburg University, Center for Economic Research 1996-105, Tilburg University, Center for Economic Research.
  7. Biais, Bruno & Foucault, Thierry & Salanie, Francois, 1998. "Floors, dealer markets and limit order markets," Journal of Financial Markets, Elsevier, Elsevier, vol. 1(3-4), pages 253-284, September.
  8. Wilson, Robert, 1979. "Auctions of Shares," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 93(4), pages 675-89, November.
  9. Biais, Bruno, 1993. " Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, vol. 48(1), pages 157-85, March.
  10. Seierstad, Atle & Sydsaeter, Knut, 1977. "Sufficient Conditions in Optimal Control Theory," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(2), pages 367-91, June.
  11. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 103-50.
  12. Bernheim, B Douglas & Whinston, Michael D, 1986. "Menu Auctions, Resource Allocation, and Economic Influence," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 101(1), pages 1-31, February.
  13. Kyle, Albert S, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 56(3), pages 317-55, July.
  14. Oliver Hansch & Narayan Y. Naik & S. Viswanathan, 1998. "Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange," Journal of Finance, American Finance Association, vol. 53(5), pages 1623-1656, October.
  15. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, Elsevier, vol. 41(3), pages 313-357, July.
  16. Anderson, Ronald W. & Tychon, Pierre, 1993. "Competition Among European Financial Markets : The Case of Cross-Listed Belgian Equities," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1993014, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  17. Ho, Thomas S Y & Stoll, Hans R, 1983. " The Dynamics of Dealer Markets under Competition," Journal of Finance, American Finance Association, vol. 38(4), pages 1053-74, September.
  18. Glosten, Lawrence R, 1989. "Insider Trading, Liquidity, and the Role of the Monopolist Specialist," The Journal of Business, University of Chicago Press, vol. 62(2), pages 211-35, April.
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Citations

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Cited by:
  1. Daniëls, Tijmen R. & Dönges, Jutta & Heinemann, Frank, 2013. "Crossing network versus dealer market: Unique equilibrium in the allocation of order flow," European Economic Review, Elsevier, vol. 62(C), pages 41-57.
  2. Hans Degryse & Mark Van Achter & Gunther Wuyts, 2004. "Dynamic order Submission Strategies with Competition between a Dealer Market and a Crossing Network," Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën ces0415, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  3. Cassola, Nuno & Ewerhart, Christian & Morana, Claudio, 2007. "Structural econometric approach to bidding in the main refinancing operations of the Eurosystem," Journal of Financial Transformation, Capco Institute, vol. 19, pages 81-90.
  4. J.Ramon Martinez-Resano, 2005. "Size And Heterogeneity Matter. A Microstructure-Based Analysis Of Regulation Of Secondary Markets For Government Bonds," Finance, EconWPA 0508007, EconWPA.
  5. Ewerhart, Christian & Cassola, Nuno & Valla, Natacha, 2006. "Declining valuations and equilibrium bidding in central bank refinancing operations," Working Paper Series 0668, European Central Bank.
  6. Polimenis, Vassilis, 2005. "Slow and fast markets," Journal of Economics and Business, Elsevier, Elsevier, vol. 57(6), pages 576-593.
  7. Perotti, Pietro & Rindi, Barbara, 2010. "Market makers as information providers: The natural experiment of STAR," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(5), pages 895-917, December.
  8. Nimalendran, M. & Petrella, Giovanni, 2003. "Do 'thinly-traded' stocks benefit from specialist intervention?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1823-1854, September.
  9. Nicolas Audet & Toni Gravelle & Jing Yang, 2002. "Alternative Trading Systems: Does One Shoe Fit All?," Working Papers 02-33, Bank of Canada.
  10. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(3), pages 249-286, August.
  11. Sylvain Friederich & Richard Payne, 2002. "Dealer liquidity in an auction market: evidence fom the London Stock Exchange," LSE Research Online Documents on Economics 24947, London School of Economics and Political Science, LSE Library.
  12. Sylvain Mignot & Gabriele Tedeschi & Annick Vignes, 2012. "An Agent Based Model of Switching: The Case of Boulogne S/mer Fish Market," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 15(2), pages 3.
  13. Cassola, N. & Ewerhart , C. & Valla, N., 2006. "Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations," Working papers, Banque de France 151, Banque de France.
  14. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2013. "Competition/fragmentation in equities markets: A literature survey," SAFE Working Paper Series 35, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  15. José Ramón Martínez-Resano, 2005. "Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds," Banco de Espa�a Occasional Papers 0501, Banco de Espa�a.
  16. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  17. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada.

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