EconPapers    
Economics at your fingertips  
 

Liquidity Supply across Multiple Trading Venues

Laurence Daures Lescourret and Sophie Moinas

No WP1505, ESSEC Working Papers from ESSEC Research Center, ESSEC Business School

Abstract: Financial markets are increasingly fragmented. How to supply liquidity in this environment? Using an inventory model, we analyze how two strategic intermediaries compete across two venues that can be hit simultaneously by liquidity shocks of equal or opposite signs. Although order flow is fragmented ex-ante, we show that intermediaries might strategically consolidate it ex-post, improving global liquidity. We also fi nd that local spreads co-move together across venues as a result of global inventory management. Using Euronext proprietary data, we uncover new evidence of inventory control across venues and fi nd that local spreads vary in a way uniquely predicted by the model.

Keywords: Market fragmentation; multi-venue market-making; bid-ask spreads (search for similar items in EconPapers)
JEL-codes: G10 G12 G20 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2015-03
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://hal-essec.archives-ouvertes.fr/hal-01137813/document (application/pdf)

Related works:
Working Paper: Liquidity Supply across Multiple Trading Venues (2015) Downloads
Working Paper: Liquidity Supply across Multiple Trading Venues (2015) Downloads
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:ebg:essewp:dr-15005

Access Statistics for this paper

More papers in ESSEC Working Papers from ESSEC Research Center, ESSEC Business School ESSEC Research Center, BP 105, 95021 Cergy, France. Contact information at EDIRC.
Bibliographic data for series maintained by Sophie Magnanou ().

 
Page updated 2020-11-28
Handle: RePEc:ebg:essewp:dr-15005