Competition for order flow and smart order routing systems

Thierry Foucault and Albert J. Menkveld ()

No 831, Les Cahiers de Recherche from HEC Paris

Abstract: In this paper, the authors study the changes in liquidity following the introduction of a new electronic limit order market when, prior to its introduction, trading is centralized in a single limit order market. They also study how automation of routing decisions and trading fees affect the relative liquidity of rival markets.

Keywords: market fragmentation; centralized limit order book; smart routers; trading fees; trade-throughs (search for similar items in EconPapers)
JEL-codes: F02 F12 F18 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
Date: 2006-01-01
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Related works:
Working Paper: Competition for Order Flow and Smart Order Routing Systems (2006)
Journal Article: Competition for Order Flow and Smart Order Routing Systems (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:ebg:heccah:0831

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