Competition for order flow and smart order routing systems
AbstractIn this paper, the authors study the changes in liquidity following the introduction of a new electronic limit order market when, prior to its introduction, trading is centralized in a single limit order market. They also study how automation of routing decisions and trading fees affect the relative liquidity of rival markets.
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Bibliographic InfoPaper provided by HEC Paris in its series Les Cahiers de Recherche with number 831.
Length: 61 pages
Date of creation: 01 Jan 2006
Date of revision:
market fragmentation; centralized limit order book; smart routers; trading fees; trade-throughs;
Other versions of this item:
- Thierry Foucault & Albert J. Menkveld, 2008. "Competition for Order Flow and Smart Order Routing Systems," Journal of Finance, American Finance Association, vol. 63(1), pages 119-158, 02.
- Foucault, Thierry & Menkveld, Albert J., 2006. "Competition for Order Flow and Smart Order Routing Systems," CEPR Discussion Papers 5523, C.E.P.R. Discussion Papers.
- F02 - International Economics - - General - - - International Economic Order; Noneconomic International Organizations;; Economic Integration and Globalization: General
- F12 - International Economics - - Trade - - - Models of Trade with Imperfect Competition and Scale Economies; Fragmentation
- F18 - International Economics - - Trade - - - Trade and Environment
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