Zobrazeno 1 - 10
of 41
pro vyhledávání: '"Barbara Rindi"'
Autor:
Frank de Jong, Barbara Rindi
The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formatio
Autor:
Giuliano Graziani, Barbara Rindi
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d9f30c36f8b25e6c1f86a4633c4d71fd
https://doi.org/10.2139/ssrn.4341374
https://doi.org/10.2139/ssrn.4341374
Publikováno v:
Management Science
Management Science, 2022
Management Science, 2022
We investigate the effects of a tick-size reduction on market quality in a multiperiod limit order book market. For illiquid stocks, reducing the tick size facilitates undercutting and discourages liquidity provision, resulting in deteriorating marke
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::66ffe953562dd803cb4c37dd927ad091
https://hal.archives-ouvertes.fr/hal-03591205
https://hal.archives-ouvertes.fr/hal-03591205
Autor:
Carole Comerton-Forde, Barbara Rindi
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef2fa0d4ac0381abde9ec8fa9aa62184
https://doi.org/10.2139/ssrn.3903757
https://doi.org/10.2139/ssrn.3903757
Publikováno v:
SSRN Electronic Journal.
We determine optimal market access pricing for an exchange or Social Planner. Exchanges optimally use rebate-based pricing (vs. strictly positive fees) when ex ante gains-from-trade and trading activity are low (high). Exchange rebate-based pricing i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d0f119d20e4de6b81ce836c4ac74e5b2
https://doi.org/10.2139/ssrn.3779195
https://doi.org/10.2139/ssrn.3779195
Publikováno v:
Financial Management. 44:905-945
Trading venues often impose a minimum lot size (minimum trade unit or MTU) to facilitate order execution. We document changes in market quality associated with the reduction of the MTU to one share on the Italian stock exchange, the Borsa Italiana. W
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cf2b12d898e2f3578206a00e2676f447
https://doi.org/10.1111/fima.12105
https://doi.org/10.1111/fima.12105
We show that when a continuous dark pool is added to a limit order book that opens illiquid, book and consolidated fill rates and volume increase, but spread widens, depth declines, and welfare deteriorates. The adverse effects on market quality and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d58e0936db3a441343c3585d69725430
http://hdl.handle.net/11565/3986339
http://hdl.handle.net/11565/3986339
Publikováno v:
SSRN Electronic Journal.
This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric information and non-Markovian learning. Investors condition on information in both the current limit order book and also, unlike in previous
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f25bfa9024eb22c8d32397337ad17c5
https://doi.org/10.2139/ssrn.3032074
https://doi.org/10.2139/ssrn.3032074
Autor:
Barbara Rindi, Ingrid M. Werner
Publikováno v:
SSRN Electronic Journal.
The U.S. equity markets recently increased the tick size from one to five cents for smaller capitalization stocks. We show that the larger tick size raised the cost for retail-sized liquidity demanding orders by almost fifty percent, and raised profi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9ff4fd502ead01a46bbe6eed6de6b883
https://doi.org/10.2139/ssrn.3041644
https://doi.org/10.2139/ssrn.3041644
Publikováno v:
SSRN Electronic Journal.
We model an order book with liquidity rebates (make fees) and trading fees (take fees) that faces intermarket competition, and use the model's insights to explain changes in market quality and market shares following changes in make-take fees. As pre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1214b416c84f85fbc17053e522040895
https://doi.org/10.2139/ssrn.2910438
https://doi.org/10.2139/ssrn.2910438