The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity

By Robert J. Bloomfield, Maureen O’Hara, Gideon Saar. 2005

468 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/330fc61fd4a62c04a613b980e6b7c56efc91ac31

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Citations in the corpus

A High Frequency Trade Execution Model for Supervised Learning (2017, unknown): “In contrast, several other studies state that such limit orders are informative (Parlour, 1998; Bloomfield et al., 2005; Cao et al., 2009; Zheng et al., 2013; Kearns and Nevmyvaka, 2013; Cont et al., 2014; Palguna and Pollak, 2014). In particular, Cao et al. (2009) study the information content of a”
Dark Trading and Price Discovery (2015, background): “28 For example, Bloomfield, O’Hara, and Saar (2005), Kaniel and Liu (2006), Goettler et al. (2009), Roşu (2013), and Boulatov and George (2013).”
A Dynamic Model of the Limit Order Book (2009, unknown): “See also Biais, Martimort, and Rochet (2000) for a theoretical model in which market makers competing with supply schedules make positive profits.”
Sequence classification of the limit order book using recurrent neural networks (2017, background): “The liquidity of the market evolves in response to trading activity (Bloomfield et al., 2005); At any point in time, the amount of liquidity in the market can be characterized by the cross-section of book depths.”
Informed trading and price discovery before corporate events (2015, unknown): “The empirical literature (see Harris and Hasbrouck, 1996; Bloomfield, O’Hara, and Saar, 2005; Hopman, 2007; Bershova, Stephens, and Waelbroeck, 2014 ) shows that the price impact of a market order is significantly larger than the price impact of a limit order.”
Order Book Characteristics and the Volume-Volatility Relation: Empirical Evidence from a Limit Order Market (2006, unknown): “2According to Bloomfield et al. (2003), ECN’s “such as Island, Instinet, and Archipelago use an electronic order book structure to trade as much as 45 % of the volume on NASDAQ”.”
Does PIN affect equity prices around the world (2014, unknown): “…and QSpread are 31.7% (full sample), 24.4% (developed markets), and 44.3% 7While there is no market making in electronic automated trading systems, the experimental study of Bloomfield, O’Hara, and Saar (2005) shows that a market-making role still arises endogenously in the electronic markets.”
Price Discovery without Trading: Evidence from Limit Orders (2019, background): “A testable prediction from the limit-order-book literature is that speculators reduce their submission of limit orders as volatility increases (Bloomfield et al. (2005) and GPR) or whether they increase them as suggested by Hoffmann (2014).”