کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960006 | 929398 | 2009 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Dynamic order submission strategies with competition between a dealer market and a crossing network
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
We analyze a dynamic microstructure model in which a dealer market (DM) and a crossing network (CN) interact for three informational settings. A key result is that coexistence of trading systems generates systematic patterns in order flow, which depend on the degree of transparency. Further, we study overall welfare, measured by the gains from trade of all agents, and compare it with the maximum overall welfare. The discrepancy between both measures is attributable to two inefficiencies. Due to these inefficiencies, introducing a CN next to a DM, as well as increasing the transparency level, not necessarily produces greater overall welfare.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 91, Issue 3, March 2009, Pages 319–338
Journal: Journal of Financial Economics - Volume 91, Issue 3, March 2009, Pages 319–338
نویسندگان
Hans Degryse, Mark Van Achter, Gunther Wuyts,