G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14127
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
URLhttps://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。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Hans Degryse]的文章
[Nikolaos Karagiannis]的文章
百度学术
百度学术中相似的文章
[Hans Degryse]的文章
[Nikolaos Karagiannis]的文章
必应学术
必应学术中相似的文章
[Hans Degryse]的文章
[Nikolaos Karagiannis]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。