Actions for Broker routing decisions in limit order markets [electronic resource]

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Broker routing decisions in limit order markets [electronic resource] / by David A. Cimon

Author
Cimon, David A.
Published
[Ottawa] : Bank of Canada, [2016]
Copyright Date
©2016
Physical Description
ii, 53 pages : graphs
Additional Creators
Bank of Canada
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Series
Language Note
Abstract in French.
Restrictions on Access
Free-to-read Unrestricted online access
Summary
"The primary focus of this paper is to study conflict of interest in the brokerage market. Brokers face a conflict of interest when the commissions they receive from investors differ from the costs imposed by different trading venues. I construct a model of limit order trading in which brokers serve as agents for investors who wish to access equity markets. I find that brokers preferentially route marketable orders to venues with lower liquidity demand fees, driving up the execution probability at these venues and lowering adverse selection costs. When fees for liquidity supply and demand are sufficiently different, brokers route liquidity supplying orders to separate venues, where investors suffer from lower execution probability and higher costs of adverse selection"--Abstract.
Report Numbers
FB3-5/2016-50E-PDF
Other Subject(s)
Note
"November 2016."
Bibliography Note
Includes bibliographical references.
Type of File/Data
Electronic monograph in PDF format.
View MARC record | catkey: 24804599