De Boelelaan 1105
Gustav Mahlerplein 117
Amsterdam, 1082 MS
VU University Amsterdam
Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)
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high frequency trading, market fragmentation, liquidity, market making
high-frequency trading, welfare, liquidity, middleman
liquidity, inventory risk, intermediary, volatility
high-frequency trading, literature survey
market fragmentation, centralized limit order book, smart routers, trading fees
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: SSRN-id908847.
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Market fragmentation, centralized limit order book, smart routers, trading fees, trade-throughs
ﬂash crash, large seller, electronic market, broken arbitrage
Exchange Speed, High-Frequency Trading, Information Asymmetry
market structure, electronic trading, high-frequency trading
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: FIRE.
high‐frequency traders, market fragmentation, market structure
liquidity, liquidity risk, designated market makers, small-cap, volume, volatility, price discovery
Liquidity, Liquidity Risk, Designated Market Makers, Small-Cap, Volume, Volatility, Price Discovery
CCP, systemic risk, crowded trades, margin, central clearing
HFT, Institutional investors, Implementation Shortfall
dark pool, pecking order, fragmentation
middleman, learning, high-frequency trader, electronic market
cross-listing, trading, fragmentation, high-frequency, nyse, order-splitting, multi-market trading, fragmented
riskfree rate, macroeconomic announcements, customer order flow, intermediary, treasury futures
Transitory Volatility, Limited Attention, Individuals, Institutions, Market Makers
Central clearing, price stability, equity volatility, margin requirement, counterparty risk, liquidity
Informational content of trades, limit order book
systemic risk, centralized clearing, margin, default fund
market makers, liquidity supply, signing trades, inventory, information, Treasury futures markets
government bond, order imbalance, euro, international
China; World Equity Markets, Dynamic Conditional Correlation
Efficient price;, Financial markets, High-frequency data, Kalman filter, Unobserved components time series models
File name: eufm.
CCP, exposure, systemic risk, real-time
HFT, nanoseconds, price instability
network map, information percolation, securities trading, fragmentation
Marketintegration, Cross-list, Stock, Intraday, Amsterdam, NYSE
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