Liquidity-Based Competition for Order Flow

By Christine A. Parlour, Duane J. Seppi. 2003

219 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/324fd8965a9fccd71cdf527924f6e79fa9edd23b

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Citations in the corpus

Does an Electronic Stock Exchange Need an Upstairs Market (2002, unknown): “Parlour and Seppi (2003) present a model in which a limit order market competes with a hybrid market consisting of a limit order book and a single, strategic, specialist. They note that the hybrid structure provides more flexibility. While the limit order book gives executions that depend entirely o”
Limit Order Markets: A Survey 1 (2008, background): “Parlour and Seppi (2003) specifically consider heterogeneous noninformational submission costs and find that the impact on intermarket competition is quite different from that of adverse selection.”
Competing on Speed (2018, unknown): “Email: tphilipp@stern.nyu.edu”
Competition among Trading Venues: Information and Trading on Electronic Communications Networks (2003, background): “Glosten (1994) examines the optimal prices schedule by competing liquidity suppliers in multiple markets and Parlour and Seppi (2003) study competition between a specialist/limit order market and a pure limit order market.”
Who Benefits from an Open Limit-Order Book? (2005, background): “For example, Rock (1990), Seppi (1997), and Parlour and Seppi (2001) model the limitorder book in a transparent, continuous trading environment with competitive limit-order traders and a strategic specialist. Glosten (1994) is yet another variant of the Rock model; however, without the specialist.”
Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network (2007, unknown): “We build on previous work that studies welfare and the optimal degree of transparency (see e.g. Pagano and Roëll (1996), Glosten (1998), Bloom eld and O Hara (2000), Viswanathan and Wang (2002), Parlour and Seppi (2003), Goettler, Parlour and Rajan (2005), and Rindi (2007)).”
The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity (2005, unknown): “Rock [1990], Glosten [1994], and Seppi [1997] explicitly incorporate informed traders into their models, but assume that they always enter market orders instead of limit orders.”
The Economics of High-Frequency Trading: Taking Stock (2016, background): “Such heterogeneity could either improve liquidity in the presence of homogeneous investors (Parlour & Seppi 2003) or it could create value simply by serving investors with different needs.”
Limit order book as a market for liquidity (2001, unknown): “Most of the models in the theoretical literature are focused on the optimal bidding strategies for limit order traders, (e.g. Glosten (1994), Chakravarty and Holden (1995), Rock (1996), Seppi (1997), Biais, Martimort and Rochet (2000), Parlour and Seppi (2001)).”
Competition for Order Flow and Smart Order Routing Systems (2008, unknown): “As in Parlour and Seppi (2003), we focus on competitive equilibria, which are defined by a zero-expected profit condition on the marginal order at each price.”
Island Goes Dark: Transparency, Fragmentation, and Regulation (2005, background): “However, there are a few models of different competing market structures, including Parlour and Seppi (2003) , who study competition between a specialist/limit order market and a pure limit order market, and Hendershott and Mendelson (2000), who analyze the effect of a crossing network on a dealer ”