Alternative Trading Systems: Does One Shoe Fit All?

Nicolas Audet, Toni Gravelle and Jing Yang

Staff Working Papers from Bank of Canada

Keywords: Financial; markets (search for similar items in EconPapers)
JEL-codes: G10 G14 G18 (search for similar items in EconPapers)
Pages: 76 pages Abstract: This paper examines the factors that lead liquidity-motivated investors to choose the type of market structure they prefer. We assume that investors can choose between a dealership and a limit-order-book market. This study builds a theoretical model for both the dealership and order-book markets and develops a numerical method to solve the Nash equiibrium strategies of heterogeneous market participants. We find that a dealership market would be preferred by investors in an environment where customer trading is relatively thin and correlated, and by investors who are subject to relatively large liquidity shocks.
Date: 2002
New Economics Papers: this item is included in nep-fin and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:02-33

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