Spoilt for choice : order routing decisions in fragmented markets

Gomber, Peter ; Sagade, Satchit ; Theissen, Erik ; Weber, Moritz Christian ; Westheide, Christian

DOI: https://doi.org/10.2139/ssrn.2839285
URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_i...
Additional URL: http://publikationen.ub.uni-frankfurt.de/frontdoor...
Document Type: Working paper
Year of publication: 2016
The title of a journal, publication series: SAFE Working Paper
Volume: 143
Place of publication: Frankfurt am Main
Publishing house: University of Frankfurt
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject: 330 Economics
Abstract: The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent of new trading venues and significant changes in the market shares of existing ones. We use an extensive panel dataset from the European equity markets to analyze the market shares of five categories of lit and dark trading mechanisms. Market design features, such as minimum tick size, immediacy and anonymity; market conditions, such as liquidity and volatility; and the informational environment have distinct implications for order routing decisions and trading venues' resulting market shares. Furthermore, these implications differ distinctly for small and large trades, probably because traders jointly optimize their trade size and venue choice. Our results both confirm and go beyond current theoretical predictions on trading in fragmented markets.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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