Industrial Organization, Order Internalization, and Invariance

Albert Kyle (), Anna Obizhaeva () and Yajun Wang ()
Additional contact information
Albert Kyle: University of Maryland
Anna Obizhaeva: New Economic School
Yajun Wang: University of Maryland

No w0274, Working Papers from New Economic School (NES)

Abstract: We present a one-period model of oligopolistic strategic trading among symmetric traders who agree to disagree about the precision of their private signals. We derive several invariance relationships relating the number of firms, number of firm's employees, average trade size, price impact, and pricing accuracy to dollar volume and returns volatility. Since a substantial part of order flow is often internalized within firms and does not reach the marketplace, invariance relationships can be modified to account for internalized order flow.

Keywords: invariance; agreement to disagree; market power; trade size; price impact; pricing accuracy; volume; volatility; market microstructure; industrial organization (search for similar items in EconPapers)
Pages: 27 pages
Date: 2020-08
New Economics Papers: this item is included in nep-com and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.nes.ru/files/Preprints-resh/WP274.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:abo:neswpt:w0274

Access Statistics for this paper

More papers in Working Papers from New Economic School (NES) Contact information at EDIRC.
Bibliographic data for series maintained by Vladimir Ivanyukhin ( this e-mail address is bad, please contact ).