IDEAS home Printed from https://ideas.repec.org/r/hal/wpaper/hal-00489430.html
   My bibliography  Save this item

Liquidity Cycles and Make/Take Fees in Electronic Markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Ladley, Daniel, 2020. "The high frequency trade off between speed and sophistication," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
  2. Yergeau, Gabriel, 2016. "Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation," Working Papers 16-3, HEC Montreal, Canada Research Chair in Risk Management.
  3. Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
  4. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2021. "Optimal make–take fees for market making regulation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 109-148, January.
  5. Yinfei Chen & Wei Huang & George J. Jiang, 2022. "Do short‐term institutions exploit stock return anomalies?," The Financial Review, Eastern Finance Association, vol. 57(1), pages 69-94, February.
  6. Thomas Johann & Erik Theissen, 2013. "Liquidity measures," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 10, pages 238-255, Edward Elgar Publishing.
  7. Clapham, Benjamin & Gomber, Peter & Lausen, Jens & Panz, Sven, 2021. "Liquidity provider incentives in fragmented securities markets," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 16-38.
  8. Isao Yagi & Mahiro Hoshino & Takanobu Mizuta, 2020. "Analysis of the impact of maker-taker fees on the stock market using agent-based simulation," Papers 2010.08992, arXiv.org.
  9. Jean-Edouard Colliard & Thierry Foucault, 2012. "Trading Fees and Efficiency in Limit Order Markets," The Review of Financial Studies, Society for Financial Studies, vol. 25(11), pages 3389-3421.
  10. Cebiroglu, Gökhan & Hautsch, Nikolaus & Walsh, Christopher, 2019. "Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?," CFS Working Paper Series 625, Center for Financial Studies (CFS).
  11. Jose S. Penalva & Mikel Tapia, 2021. "Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed," Applied Mathematical Finance, Taylor & Francis Journals, vol. 28(2), pages 143-177, March.
  12. Gozluklu, Arie E., 2016. "Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders," Journal of Financial Markets, Elsevier, vol. 28(C), pages 91-115.
  13. Yacine Aït-Sahalia & Mehmet Saglam, 2013. "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers 19531, National Bureau of Economic Research, Inc.
  14. Chakrabarty, Bidisha & Cox, Justin & Upson, James E., 2022. "Tick Size Pilot Program and price discovery in U.S. stock markets," Journal of Financial Markets, Elsevier, vol. 59(PB).
  15. Wing Wah Tham & Elvira Sojli & Johannes A. Skjeltorp, 2018. "Cross-Sided Liquidity Externalities," Management Science, INFORMS, vol. 64(6), pages 2901-2929, June.
  16. OUATTARA, Aboudou, 2016. "Impact of the transition to continous trading on emerging financial market's liquidity : Case study of the West Africa Regional Exchange Market (BRVM)," MPRA Paper 75391, University Library of Munich, Germany.
  17. David Byrd & Tucker Hybinette Balch, 2019. "Intra-day Equity Price Prediction using Deep Learning as a Measure of Market Efficiency," Papers 1908.08168, arXiv.org.
  18. Gianluca Piero Maria Virgilio, 2019. "High-frequency trading: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 183-208, June.
  19. Albert J. Menkveld & Marius A. Zoican, 2017. "Need for Speed? Exchange Latency and Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1188-1228.
  20. Bastien Baldacci & Philippe Bergault & Joffrey Derchu & Mathieu Rosenbaum, 2020. "On bid and ask side-specific tick sizes," Papers 2005.14126, arXiv.org, revised May 2020.
  21. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2018. "Optimal make-take fees for market making regulation," Papers 1805.02741, arXiv.org, revised Nov 2019.
  22. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2019. "Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models," The Financial Review, Eastern Finance Association, vol. 54(3), pages 417-449, August.
  23. Alfred Lehar & Christine Parlour & Marius Zoican, 2023. "Fragmentation and optimal liquidity supply on decentralized exchanges," Papers 2307.13772, arXiv.org, revised May 2024.
  24. Kin‐Yip Ho & Wai‐Man Liu & Jing Yu, 2018. "Public News Arrival and Cross‐Asset Correlation Breakdown," International Review of Finance, International Review of Finance Ltd., vol. 18(3), pages 411-451, September.
  25. Chen, Linda H. & Dyl, Edward A. & Jiang, George J. & Juneja, Januj A., 2015. "Risk, illiquidity or marketability: What matters for the discounts on private equity placements?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 41-50.
  26. Cantillon, Estelle & Yin, Pai-Ling, 2011. "Competition between exchanges: A research agenda," International Journal of Industrial Organization, Elsevier, vol. 29(3), pages 329-336, May.
  27. Rakkestad, Ketil & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2012. "The liquidity of the Secondary Market for Debt Securities in Norway," UiS Working Papers in Economics and Finance 2012/12, University of Stavanger.
  28. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
  29. Cécile Bastidon, 2017. "Stock markets fragmentation, volatility and final investors," Annals of Finance, Springer, vol. 13(4), pages 435-451, November.
  30. Marios Panayides & Barbara Rindi & Ingrid M.Werner, 2017. "Trading Fees and Intermarket Competition," BAFFI CAREFIN Working Papers 1751, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  31. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2019. "Optimal make-take fees for market making regulation," Working Papers hal-02379592, HAL.
  32. Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2020. "Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk," SAFE Working Paper Series 234, Leibniz Institute for Financial Research SAFE, revised 2020.
  33. Murray, Hamish & Pham, Thu Phuong & Singh, Harminder, 2016. "Latency reduction and market quality: The case of the Australian Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 257-265.
  34. Chih‐Chung Chien & Shikuan Chen & Ming‐Jen Chang, 2023. "A span of continuous trades and liquidity dynamics in foreign exchange markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 144-168, January.
  35. Amber Anand & Jian Hua & Tim McCormick, 2016. "Make-Take Structure and Market Quality: Evidence from the U.S. Options Markets," Management Science, INFORMS, vol. 62(11), pages 3271-3290, November.
  36. Virgilio, Gianluca, 2017. "Is high-frequency trading tiering the financial markets?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 158-171.
  37. Hans Degryse & Frank de Jong & Vincent van Kervel, 2015. "The Impact of Dark Trading and Visible Fragmentation on Market Quality," Review of Finance, European Finance Association, vol. 19(4), pages 1587-1622.
  38. Markus Baldauf & Joshua Mollner, 2020. "High‐Frequency Trading and Market Performance," Journal of Finance, American Finance Association, vol. 75(3), pages 1495-1526, June.
  39. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
  40. Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.
  41. Haas, Marlene & Khapko, Mariana & Zoican, Marius, 2021. "Speed and learning in high-frequency auctions," Journal of Financial Markets, Elsevier, vol. 54(C).
  42. Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
  43. Mahiro Hoshino & Takanobu Mizuta & Yasuhiro Sudo & Isao Yagi, 2022. "Impact of maker-taker fees on stock exchange competition from an agent-based simulation," Journal of Computational Social Science, Springer, vol. 5(2), pages 1323-1342, November.
  44. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
  45. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  46. O’Donoghue, Shawn M., 2022. "Transaction fees: Impact on institutional order types, commissions, and execution quality," Journal of Financial Markets, Elsevier, vol. 60(C).
  47. Leone, Vitor & Kwabi, Frank, 2019. "High frequency trading, price discovery and market efficiency in the FTSE100," Economics Letters, Elsevier, vol. 181(C), pages 174-177.
  48. J. Doyne Farmer & Spyros Skouras, 2013. "An ecological perspective on the future of computer trading," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 325-346, February.
  49. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2011. "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces EBC Discussion Paper 2011-013)," Other publications TiSEM 3ff46941-c3ff-4ba4-9a5b-d, Tilburg University, School of Economics and Management.
  50. Galati, Luca, 2024. "Exchange market share, market makers, and murky behavior: The impact of no-fee trading on cryptocurrency market quality," Journal of Banking & Finance, Elsevier, vol. 165(C).
  51. Scholtus, Martin & van Dijk, Dick & Frijns, Bart, 2014. "Speed, algorithmic trading, and market quality around macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 89-105.
  52. Daniel Ladley, 2019. "The Design and Regulation of High Frequency Traders," Discussion Papers in Economics 19/02, Division of Economics, School of Business, University of Leicester.
  53. Caglio, Cecilia & Mayhew, Stewart, 2016. "Equity trading and the allocation of market data revenue," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 97-111.
  54. Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
  55. Conrad, Jennifer & Wahal, Sunil, 2020. "The term structure of liquidity provision," Journal of Financial Economics, Elsevier, vol. 136(1), pages 239-259.
  56. Duong, Huu Nhan & Kalev, Petko S., 2014. "Anonymity and the Information Content of the Limit Order Book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 205-219.
  57. Conrad, Jennifer & Wahal, Sunil & Xiang, Jin, 2015. "High-frequency quoting, trading, and the efficiency of prices," Journal of Financial Economics, Elsevier, vol. 116(2), pages 271-291.
  58. Zhou, Hao & Kalev, Petko S. & Frino, Alex, 2020. "Algorithmic trading in turbulent markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  59. Roberto Riccó & Barbara Rindi & Duane J. Seppi, 2021. "Optimal Market Asset Pricing," Working Papers 675, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  60. Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2017. "Toxic Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1053-1094.
  61. Marios Panayides & Barbara Rindi & Ingrid M. Werner, 2017. "Trading Fees and Intermarket Competition," Working Papers 595, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  62. Juraj Hruška, 2016. "Aggressive and Defensive High-Frequency Trading and its Impact on Liquidity of German Stock Market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 1911-1918.
  63. Peter Gomber & Satchit Sagade & Erik Theissen & Moritz Christian Weber & Christian Westheide, 2017. "Competition Between Equity Markets: A Review Of The Consolidation Versus Fragmentation Debate," Journal of Economic Surveys, Wiley Blackwell, vol. 31(3), pages 792-814, July.
  64. Bruno Biais & Thierry Foucault, 2014. "HFT and Market Quality," Bankers, Markets & Investors, ESKA Publishing, issue 128, pages 5-19, January-F.
  65. Brauneis, Alexander & Mestel, Roland & Riordan, Ryan & Theissen, Erik, 2022. "The anatomy of a fee change — evidence from cryptocurrency markets," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 152-167.
  66. Chakrabarty, Bidisha & Moulton, Pamela C., 2012. "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 612-634.
  67. Vincent Maurin, 2016. "Liquidity Fluctuations in Over the Counter Markets," 2016 Meeting Papers 218, Society for Economic Dynamics.
  68. Eibelshäuser, Steffen & Smetak, Fabian, 2022. "Frequent batch auctions and informed trading," SAFE Working Paper Series 344, Leibniz Institute for Financial Research SAFE.
  69. T. Bourveau & A. Garel & P. Peter Joos & A. Petit-Romec, 2024. "When attention is away, analysts misplay: distraction and analyst forecast performance," Post-Print hal-03844012, HAL.
  70. Mariana Khapko & Marius Zoican, 2020. "How Fast Should Trades Settle?," Management Science, INFORMS, vol. 66(10), pages 4573-4593, October.
  71. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
  72. Khomyn, Marta & Putniņš, Tālis J., 2021. "Algos gone wild: What drives the extreme order cancellation rates in modern markets?," Journal of Banking & Finance, Elsevier, vol. 129(C).
  73. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  74. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.