Dynamic order submission strategies with competition between a dealer market and a crossing network

• 成果类型: Article
• 署名作者: Degryse, Hans; Van Achter, Mark; Wuyts, Gunther
• 署名单位: Tilburg University; University of Bonn; KU Leuven; European Central Bank; National Bank of Belgium
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.02.007
• 发表日期: 2009
• 页码: 319-338
• 关键词: Alternative trading systems; Crossing network; Order Flow; TRANSPARENCY; welfare

摘要

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. (C) 2008 Elsevier B.V. All rights reserved.