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| Author: | Degryse, H. Achter, M. Van Wuyts, G. |
| Title: | Dynamic order submission strategies with competition between a dealer market and a crossing network |
| Journal: | Journal of Financial Economics
2009 : MAR, VOL. 91:3, p. 319-338 |
| Index terms: | stock markets dealers trading networks welfare models |
| Language: | eng |
| Abstract: | This study explores 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, depending on the degree of transparency. In addition, studied is also overall welfare, measured by the gains from trade of all agents. It is compared with the maximum overall welfare etc. |
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