Modeling the bid/ask spread: measuring the inventory-holding premium
Article Abstract:
The model of the market bid/ask spread, which includes the effects of price discreteness caused by minimum tick size, order-processing costs, inventory-holding costs, adverse selection costs and competition is studied. The inventory-holding premium represents compensation for the price risk that the market maker has to face.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2004
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Payment for order flow
Article Abstract:
The development of a dynamic model of price competition in dealer and broker markets is discussed. The study concludes that payment for order flow redistributes from liquidity demanding traders to those who supply it.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2003
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A closing call's impact on market quality at Euronext Paris
Article Abstract:
The effects of innovation on market quality are analyzed. The improvements in the market quality at market openings are also observed.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2003
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