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| Tekijä: | Battalio, R. Holden, C.W. |
| Otsikko: | A simple model of payment for order flow, internalization, and total trading cost |
| Lehti: | Journal of Financial Markets
2001 : JAN, VOL. 4:1, p. 33-71 |
| Asiasana: | |
| Vapaa asiasana: | INTERNALIZATION MICROSTRUCTURE PAYMENT FOR ORDER FLOW TOTAL TRADING COSTS |
| Kieli: | eng |
| Tiivistelmä: | The authors show that externally-verifiable characteristics (inexpensive for a third-party to verify) of traders or orders allow profitable purchasing of order flow and internalization. They introduce total trading cost, defined as the effective half spread plus the broke's per share commission, as a measure of execution quality. They use this measure to reinterpret prior empirical studies of : 1) execution quality across trading venues and 2) cream-skimming by purchasers of order flow. |
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