Competing for Order Flow in OTC Markets

Benjamin Lester, Guillaume Rocheteau and Pierre-Olivier Weill

Journal of Money, Credit and Banking, 2015, vol. 47, issue S2, 77-126

Abstract: We develop a model of a two‐sided asset market in which trades are intermediated by dealers and are bilateral. Dealers compete to attract order flow by posting the terms at which they execute trades—which can include prices, quantities, and execution speed—and investors direct their orders toward dealers who offer the most attractive terms. We characterize the equilibrium in a general setting, and we illustrate theoretically and numerically how the model can account for several important trading patterns in over‐the‐counter markets, which do not emerge from existing models.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
https://doi.org/10.1111/jmcb.12215

Related works:
Working Paper: Competing for Order Flow in OTC Markets (2015)
Working Paper: Competing for order flow in OTC markets (2014)
Working Paper: Competing for Order Flow in OTC Markets (2014)
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:wly:jmoncb:v:47:y:2015:i:s2:p:77-126

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().