Zobrazeno 1 - 10
of 75
pro vyhledávání: '"Sabrina Buti"'
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
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.
We model a public limit order book where rational traders decide whether to demand or supply liquidity, and where liquidity builds endogenously. The model predicts that a reduction of the tick size will cause spreads and welfare to deteriorate for il
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::82f636649ac3ef292def95a8c182a0a2
https://doi.org/10.2139/ssrn.2485069
https://doi.org/10.2139/ssrn.2485069
Publikováno v:
SSRN Electronic Journal.
We show that following a tick size reduction in a decimal public limit order book (PLB) market quality and welfare fall for illiquid but increase for liquid stocks. If a Sub-Penny Venue (SPV) starts competing with a penny-quoting PLB, market quality
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ed17cd0d47251eacade092b302ca07f5
https://doi.org/10.2139/ssrn.2324862
https://doi.org/10.2139/ssrn.2324862
Publikováno v:
SSRN Electronic Journal.
We develop a model where a public limit order book (PLB) competes with a Sub-Penny Venue, which allows Sub-Penny Trading (SPT). SPT occurs when a trader undercuts orders in the PLB by less than one penny, a practice we call queue-jumping (QJ). QJ is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76cbf1c093d016a58bc65ae606cfd550
https://doi.org/10.2139/ssrn.2350424
https://doi.org/10.2139/ssrn.2350424
Autor:
Barbara Rindi, Sabrina Buti
Reserve orders enable traders to hide a portion of their orders and now appear in most electronic limit order markets. This paper outlines a theory to determine an optimal submission strategy in a limit order book, in which traders choose among limit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9376c0b8d750710861806ade8a44e1df
http://hdl.handle.net/11565/3788715
http://hdl.handle.net/11565/3788715
Autor:
Barbara Rindi, Sabrina Buti
Publikováno v:
SSRN Electronic Journal.
Reserve orders enable traders to hide a portion of their orders and now appear in most electronic limit order markets. This article outlines a theory to determine an optimal submission strategy in a limit order book, in which traders choose among lim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3c5178ff0f64b8e00372c64a84878bad
https://doi.org/10.2139/ssrn.1100303
https://doi.org/10.2139/ssrn.1100303
Publikováno v:
SSRN Electronic Journal.
This paper examines unique data on dark pool activity for a large cross-section of US stocks in 2009. Dark pool activity is concentrated in liquid stocks. Nasdaq (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks cont
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e90bb07935cd25d27a35aa237561c99d
https://doi.org/10.2139/ssrn.1630499
https://doi.org/10.2139/ssrn.1630499
Publikováno v:
SSRN Electronic Journal.
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 w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bf27085e212780c580b89538890f879b
https://doi.org/10.2139/ssrn.1571416
https://doi.org/10.2139/ssrn.1571416
Autor:
Sabrina Buti
This paper gives a new answer to the challenging question raised by Glosten (1994): "Is the electronic order book inevitable?". While the order book enables traders to compete to supply anonymous liquidity, the specialist system enables one to reap t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::64d64d54d72173f3959d3c4cf32756c9
http://www.sifr.org/PDFs/sifr-wp55.pdf
http://www.sifr.org/PDFs/sifr-wp55.pdf