| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14127 |
| DP14127 Priority Rules | |
| Hans Degryse; Nikolaos Karagiannis | |
| 发表日期 | 2019-11-17 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | While regulators often mandate price priority across markets, they do not impose secondary priority rules. Order preferencing by a broker to a specific market may then serve as tiebreaker. We compare order preferencing, modeled as price-broker-time priority (PBT), to price-time priority (PT). The secondary priority rule determines a limit order's execution probability, and hence investors' choice between limit and market orders. When the tick is tight relative to the dispersion in investors' valuations, trading rates are higher with PBT whereas investor welfare is higher with PT. The opposite holds for wide ticks. Our model has empirical and regulatory implications regarding market fragmentation. |
| 主题 | Financial Economics |
| 关键词 | Market fragmentation Priority rules Welfare Queuing |
| URL | https://cepr.org/publications/dp14127 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543016 |
| 推荐引用方式 GB/T 7714 | Hans Degryse,Nikolaos Karagiannis. DP14127 Priority Rules. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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