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Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures

Citations

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Cited by:

  1. Yong Chao & Chen Yao & Mao Ye, 2017. "Discrete Pricing and Market Fragmentation: A Tale of Two-Sided Markets," American Economic Review, American Economic Association, vol. 107(5), pages 196-199, May.
  2. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
  3. Babus, Ana & Parlatore, Cecilia, 2022. "Strategic fragmented markets," Journal of Financial Economics, Elsevier, vol. 145(3), pages 876-908.
  4. Lin, Yiping & Swan, Peter L. & Harris, Frederick H.de B., 2025. "Does maker-taker limit order subsidy improve market outcomes? Quasi-natural experimental evidence," Journal of Banking & Finance, Elsevier, vol. 170(C).
  5. Giovanni Cespa & Xavier Vives, 2022. "Exchange Competition, Entry, and Welfare," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2570-2624.
  6. Roberto Riccó & Barbara Rindi & Duane J. Seppi, 2021. "Optimal Market Asset Pricing," Working Papers 675, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  7. Li, Sida & Ye, Mao & Zheng, Miles, 2023. "Refusing the best price?," Journal of Financial Economics, Elsevier, vol. 147(2), pages 317-337.
  8. Daniel Chen & Darrell Duffie, 2021. "Market Fragmentation," American Economic Review, American Economic Association, vol. 111(7), pages 2247-2274, July.
  9. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
  10. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2017. "The Price Effects of Liquidity Shocks: A Study of SEC’s Tick-Size Experiment," CEPR Discussion Papers 12486, C.E.P.R. Discussion Papers.
  11. Eric Budish & Robin S. Lee & John J. Shim, 2024. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," Journal of Political Economy, University of Chicago Press, vol. 132(4), pages 1209-1246.
  12. Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2024. "Trader Competition in Fragmented Markets: Liquidity Supply Versus Picking-Off Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 59(1), pages 221-248, February.
  13. Franzoni, Francesco & Di Maggio, Marco & Egan, Mark, 2019. "The Value of Intermediation in the Stock Market," CEPR Discussion Papers 13936, C.E.P.R. Discussion Papers.
  14. Cimon, David A., 2021. "Broker routing decisions in limit order markets," Journal of Financial Markets, Elsevier, vol. 54(C).
  15. Baldauf, Markus & Mollner, Joshua & Yueshen, Bart Zhou, 2024. "Siphoned apart: A portfolio perspective on order flow segmentation," Journal of Financial Economics, Elsevier, vol. 154(C).
  16. Sarah Draus, 2012. "Market Power on Exchanges: Linking Price Impact to Trading Fees," CSEF Working Papers 490, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  17. Marco Di Maggio & Mark L. Egan & Francesco Franzoni, 2019. "The Value of Intermediation in the Stock Market," NBER Working Papers 26147, National Bureau of Economic Research, Inc.
  18. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
  19. Steffen Juranek & Uwe Walz, 2020. "Organizational Design, Competition, and Financial Exchanges," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(1), pages 132-163, January.
  20. Eric Budish & Peter Cramton & Albert S. Kyle & Jeongmin Lee & David Malec, 2022. "Flow Trading," ECONtribute Discussion Papers Series 146, University of Bonn and University of Cologne, Germany.
    • Eric Budish & Peter Cramton & Albert S. Kyle & Jeongmin Lee & David Malec, 2023. "Flow Trading," NBER Working Papers 31098, National Bureau of Economic Research, Inc.
  21. Haoyang Liu & Zhaogang Song & James Vickery, 2021. "Defragmenting Markets: Evidence from Agency MBS," Working Papers 21-25, Federal Reserve Bank of Philadelphia.
  22. Brolley, Michael & Malinova, Katya, 2021. "Informed liquidity provision in a limit order market," Journal of Financial Markets, Elsevier, vol. 52(C).
  23. Irtisam, Rasheek & Sokolov, Konstantin, 2023. "Do stock exchanges specialize? Evidence from the New Jersey transaction tax proposal," Journal of Banking & Finance, Elsevier, vol. 154(C).
  24. Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2020. "Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk," SAFE Working Paper Series 234, Leibniz Institute for Financial Research SAFE, revised 2020.
  25. Galati, Luca, 2024. "Exchange market share, market makers, and murky behavior: The impact of no-fee trading on cryptocurrency market quality," Journal of Banking & Finance, Elsevier, vol. 165(C).
  26. Brauneis, Alexander & Mestel, Roland & Riordan, Ryan & Theissen, Erik, 2022. "The anatomy of a fee change — evidence from cryptocurrency markets," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 152-167.
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