The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X

He, Peng William; Jarnecic, Elvis; Liu, Yubo

doi:10.1016/j.finmar.2014.10.002

Cited by 33 publications

(17 citation statements)

References 37 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…That adding a trading venue deepens the aggregate book is corroborated by empirical evidence (e.g.,Boehmer and Boehmer (2003),Fink, Fink, and Weston (2006),Foucault and Menkveld (2008),He, Jarnecic, and Liu (2015),Aitken, Chen, and Foley (2017)). On the theoretical side,Dennert (1993) also features this force.…”

mentioning

confidence: 99%

High‐Frequency Trading and Market Performance

Baldauf¹,

Mollner

2020

The Journal of Finance

129

View full text Add to dashboard Cite

We study the consequences of, and potential policy responses to, high-frequency trading (HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate HFT, with consequences for this tradeoff: Information production decreases because informed traders have less time to trade before HFTs react, but liquidity (measured by the bid-ask spread) improves because informational asymmetries decline. HFT also pushes outcomes inside the frontier of this tradeoff. However, outcomes can be restored to the frontier by replacing the limit order book with one of two alternative mechanisms: delaying all orders except cancellations or implementing frequent batch auctions. * Markus Baldauf is with the Sauder School of Business, University of British Columbia. Joshua Mollner is with the Kellogg School of Management, Northwestern University. We are indebted to our advisors

show abstract

mentioning

confidence: 99%

High‐Frequency Trading and Market Performance

Baldauf¹,

Mollner

2020

The Journal of Finance

129

View full text Add to dashboard Cite

show abstract

“…The experience from other financial markets, in which exchanges with lower commissions, such as Chi-X, have gained traction in the marketplace alongside established competitors (He, Jarnecic, and Liu, 2015), suggests that the traditional PTBs risk losing market share to the BBBs. Thus, we would predict that as bettors become more sophisticated and recognize the availability of exchanges with lower execution costs and higher liquidity, PTBs will mimic the BBB model, focusing more on holding balanced books rather than setting profit-maximizing prices.…”

Section: Discussionmentioning

confidence: 99%

New entry, strategic diversity and efficiency in soccer betting markets: the creation and suppression of arbitrage opportunities

Grant

Oikonomidis

Bruce

et al. 2018

The European Journal of Finance

View full text Add to dashboard Cite

We find that prices offered by competing bookmakers within the same quote-driven soccer (football) betting market provide arbitrage opportunities. However, the management practices of bookmakers prevent informed bettors exploiting these in practice. We identify two groups of bookmakers, 'position-takers' and 'book-balancers.' Position-takers alter their odds infrequently, while actively restricting informed traders. Book-balancers actively manage inventory by adjusting odds, and place few restrictions on their customers. We identify 545 arbitrage portfolios, and find that around 50% would require a bet on the favourite at the position-taking bookmaker. The management practices of position-takers generally prevent these opportunities being exploited in practice.

show abstract

“…It is important to note that the competitive environment we study differs from that studied in Boehmer et al (2007) and He et al (2015), where the competing markets under analysis are relatively similar in structure. Therefore, their performance can be measured relatively easily based on realized transaction costs, liquidity measures, or execution speed.…”

Section: Empirical Methodologymentioning

confidence: 99%

Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets

et al. 2016

View full text Add to dashboard Cite

The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent of new trading venues and significant changes in the market shares of existing ones. We use an extensive panel dataset from the European equity markets to analyze the market shares of five categories of lit and dark trading mechanisms. Market design features, such as minimum tick size, immediacy and anonymity; market conditions, such as liquidity and volatility; and the informational environment have distinct implications for order routing decisions and trading venues' resulting market shares. Furthermore, these implications differ distinctly for small and large trades, probably because traders jointly optimize their trade size and venue choice. Our results both confirm and go beyond current theoretical predictions on trading in fragmented markets.

show abstract

The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X

Cited by 33 publications

References 37 publications

High‐Frequency Trading and Market Performance

High‐Frequency Trading and Market Performance

New entry, strategic diversity and efficiency in soccer betting markets: the creation and suppression of arbitrage opportunities

Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets

Contact Info

Product

Resources

About