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Competition for Order Flow and Smart Order Routing Systems

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

  1. Phuong Pham, Thu & Joakim Westerholm, P., 2013. "An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 202-223.
  2. Giovanni Cespa & Xavier Vives, 2018. "Exchange Competition, Entry, and Welfare," CESifo Working Paper Series 7432, CESifo Group Munich.
  3. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
  4. Upson, James & Van Ness, Robert A., 2017. "Multiple markets, algorithmic trading, and market liquidity," Journal of Financial Markets, Elsevier, vol. 32(C), pages 49-68.
  5. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2011. "Dark Pool Trading Strategies," Working Papers 421, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. Aitken, Michael & Chen, Haoming & Foley, Sean, 2017. "The impact of fragmentation, exchange fees and liquidity provision on market quality," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 140-160.
  7. Ismael Lemhadri, 2018. "Market Impact in a Latent Order Book," Papers 1802.06101, arXiv.org, revised Feb 2018.
  8. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2013. "Liquidity Cycles and Make/Take Fees in Electronic Markets," Journal of Finance, American Finance Association, vol. 68(1), pages 299-341, February.
  9. Jean-Edouard Colliard & Thierry Foucault, 2012. "Trading Fees and Efficiency in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 25(11), pages 3389-3421.
  10. O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
  11. repec:eee:jfinec:v:124:y:2017:i:2:p:244-265 is not listed on IDEAS
  12. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
  13. Degryse, Hans & Van Achter, Mark & Wuyts, Gunther, 2009. "Dynamic order submission strategies with competition between a dealer market and a crossing network," Journal of Financial Economics, Elsevier, vol. 91(3), pages 319-338, March.
  14. Kei Kawakami, 2013. "Optimal Market Size," Department of Economics - Working Papers Series 1168, The University of Melbourne.
  15. Michael Brolley & David A. Cimon, 2018. "Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays," Staff Working Papers 18-16, Bank of Canada.
  16. Comerton-Forde, Carole & Putniņš, Tālis J., 2015. "Dark trading and price discovery," Journal of Financial Economics, Elsevier, vol. 118(1), pages 70-92.
  17. Fany Declerck & Laurence Lescourret, 2015. "Dark pools et trading haute fréquence : une évolution utile ?," Revue d'économie financière, Association d'économie financière, vol. 0(4), pages 113-126.
  18. Aim'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions, 2013. "Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis," Papers 1305.6323, arXiv.org, revised Aug 2015.
  19. Hoffmann, Peter, 2016. "Adverse selection, market access, and inter-market competition," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 108-119.
  20. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2016. "Spoilt for choice: Order routing decisions in fragmented equity markets," CFR Working Papers 16-04, University of Cologne, Centre for Financial Research (CFR).
  21. Hans Degryse & Frank de Jong & Vincent van Kervel, 2015. "The Impact of Dark Trading and Visible Fragmentation on Market Quality," Review of Finance, European Finance Association, vol. 19(4), pages 1587-1622.
  22. Thierry Foucault, 2006. "Liquidité, coût du capital et organisation de la négociation des valeurs boursières," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 123-138.
  23. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
  24. Cantillon, Estelle & Yin, Pai-Ling, 2011. "Competition between exchanges: A research agenda," International Journal of Industrial Organization, Elsevier, vol. 29(3), pages 329-336, May.
  25. repec:eee:intfin:v:53:y:2018:i:c:p:179-199 is not listed on IDEAS
  26. Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2018. "A tale of one exchange and two order books: Effects of fragmentation in the absence of competition," SAFE Working Paper Series 234, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  27. Kohler, Alexander & von Wyss, Rico, 2012. "Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID," Working Papers on Finance 1209, University of St. Gallen, School of Finance.
  28. Michael Chlistalla & Marco Lutat, 2011. "Competition in securities markets: the impact on liquidity," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(2), pages 149-172, June.
  29. Ban Zheng & Eric Moulines & Fr'ed'eric Abergel, 2012. "Price Jump Prediction in Limit Order Book," Papers 1204.1381, arXiv.org.
  30. Garvey, Ryan & Huang, Tao & Wu, Fei, 2016. "Why do traders choose dark markets?," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 12-28.
  31. Ismael Lemhadri, 2018. "Market impact in a latent order book," Working Papers hal-01711192, HAL.
  32. Hans Degryse & Rudy de Winne & Carole Gresse & Richard Payne, 2018. "High frequency trading and ghost liquidity," Post-Print hal-01894838, HAL.
  33. Markus Baldauf & Joshua Mollner, 2015. "Trading in Fragmented Markets," Discussion Papers 15-018, Stanford Institute for Economic Policy Research.
  34. Furuhata, Masabumi & Dessouky, Maged & Ordóñez, Fernando & Brunet, Marc-Etienne & Wang, Xiaoqing & Koenig, Sven, 2013. "Ridesharing: The state-of-the-art and future directions," Transportation Research Part B: Methodological, Elsevier, vol. 57(C), pages 28-46.
  35. He, Peng William & Jarnecic, Elvis & Liu, Yubo, 2015. "The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X," Journal of Financial Markets, Elsevier, vol. 22(C), pages 27-49.
  36. repec:eee:finmar:v:35:y:2017:i:c:p:1-20 is not listed on IDEAS
  37. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
  38. Schröder, Michael & Riedler, Jesper & Jaroszek, Lena & Lang, Gunnar & Hommel, Paul & Voll, Sebastian Simon, 2011. "Assessment of the cumulative impact of various regulatory initiatives on the European banking sector: Study," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 110523.
  39. Buti, Sabrina & Rindi, Barbara & Wen, Yuanji & Werner, Ingrid M., 2013. "Tick Size Regulation and Sub-Penny Trading," Working Paper Series 2013-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  40. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2014. "Dark Pool Trading Strategies, Market Quality and Welfare," Working Papers 530, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  41. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2009. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Papers 0910.1166, arXiv.org, revised May 2010.
  42. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
  43. Carole Gresse, 2017. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print hal-01631771, HAL.
  44. repec:eee:empfin:v:49:y:2018:i:c:p:178-200 is not listed on IDEAS
  45. repec:eee:irlaec:v:55:y:2018:i:c:p:33-40 is not listed on IDEAS
  46. Carole Gresse, 2013. "Effects of Lit and Dark Trading Venue Competition on Liquidity : The MiFID Experience," Post-Print hal-01632517, HAL.
  47. repec:eee:phsmap:v:509:y:2018:i:c:p:1152-1161 is not listed on IDEAS
  48. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
  49. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
  50. repec:dau:papers:123456789/7685 is not listed on IDEAS
  51. Corey Garriott & Anna Pomeranets & Joshua Slive & Thomas Thorn, 2013. "Fragmentation in Canadian Equity Markets," Bank of Canada Review, Bank of Canada, vol. 2013(Autumn), pages 20-29.
  52. Lena Boneva & Oliver Linton & Michael Vogt, 2016. "The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 192-213, January.
  53. Clapham, Benjamin & Gomber, Peter & Panz, Sven, 2017. "Coordination of circuit breakers? Volume migration and volatility spillover in fagmented markets," SAFE Working Paper Series 196, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  54. repec:scm:ecofrm:v:6:y:2017:i:1:p:57 is not listed on IDEAS
  55. Rahi, Rohit & Zigrand, Jean-Pierre, 2013. "Market quality and contagion in fragmented markets," LSE Research Online Documents on Economics 60971, London School of Economics and Political Science, LSE Library.
  56. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2011. "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)," Discussion Paper 2011-069, Tilburg University, Center for Economic Research.
  57. repec:dau:papers:123456789/8775 is not listed on IDEAS
  58. Ban Zheng & Eric Moulines & Frédéric Abergel, 2013. "Price jump prediction in a limit order book," Post-Print hal-00684716, HAL.
  59. Peter Gomber & Satchit Sagade & Erik Theissen & Moritz Christian Weber & Christian Westheide, 2017. "Competition Between Equity Markets: A Review Of The Consolidation Versus Fragmentation Debate," Journal of Economic Surveys, Wiley Blackwell, vol. 31(3), pages 792-814, July.
  60. Ende, Bartholomäus & Lutat, Marco, 2010. "Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50," CFS Working Paper Series 2010/15, Center for Financial Studies (CFS).
  61. Carole Gresse, 2011. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print halshs-00641122, HAL.
  62. van Kervel, V.L., 2013. "Competition between stock exchanges and optimal trading," Other publications TiSEM 5c608a0f-527d-441d-a910-e, Tilburg University, School of Economics and Management.
  63. Thierry Foucault, 2006. "Liquidity, cost of capital and the organization of trading in stock markets," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 113-123.
  64. Kai-Uwe Kühn & Szabolcs Lorincz & Vincent Verouden & Annemiek Wilpshaar, 2012. "Economics at DG Competition, 2011–2012," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 41(4), pages 251-270, December.
  65. Kohler, Alexander & von Wyss, Rico, 2012. "Fragmentation in European Equity Markets and Market Quality – Evidence from the Analysis of Trade-Throughs," Working Papers on Finance 1210, University of St. Gallen, School of Finance.
  66. Foley, Sean & Putniņš, Tālis J., 2016. "Should we be afraid of the dark? Dark trading and market quality," Journal of Financial Economics, Elsevier, vol. 122(3), pages 456-481.
  67. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Working Papers hal-00737491, HAL.
  68. repec:dau:papers:123456789/7391 is not listed on IDEAS
  69. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
  70. repec:hal:wpaper:hal-00684716 is not listed on IDEAS
  71. repec:gam:jjrfmx:v:12:y:2019:i:2:p:68-:d:224573 is not listed on IDEAS
  72. Gomber, Peter & Jäger, Benedikt, 2014. "MiFID: Eine systematische Analyse der Zielerreichung," SAFE White Paper Series 14, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
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