Market Making with Costly Monitoring: An Analysis of the SOES Controversy

By Thierry Foucault, A. Röell, Patrik Sandås. 2003

129 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/77fd6c371f4c5fad84f95c3f2cb543422e131744

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Citations in the corpus

Liquidity-Based Competition for Order Flow (2003, background): “See Harris and Schultz (1998) and Foucault, Roell, and Sandas (2003). preferencing, is sufficient to offset the PLM’s cost minimization advantage in Inequality (18).”
Automation, Speed, and Stock Market Quality: The NYSE’s Hybrid (2011, background): “This is consistent with liquidity demanders learning over time how to best utilize the new systems (as in Foucault, Roell, and Sandas, 2003) and liquidity suppliers having short-lived market power after Hybrid’s introduction.”
Liquidity Cycles and Make/Take Fees in Electronic Markets (2013, unknown): “They can reduce this risk by monitoring the flow of information and cancel their quotes when new information arrives (see Foucault et al. (2003) for a theoretical analysis).”
Does Algorithmic Trading Improve Liquidity (2011, background): “Note that this reduces to Glosten (1987) if δ = 0.”
High Frequency Trading and Price Discovery (2014, background): “The “optional value” inherent in providing firm quotes and limit orders allows faster traders to profit from picking off stale quotes and orders (Foucault, Roell, and Sandas (2003).”
Middlemen in Limit Order Markets (2016, unknown): “Foucault, Röell, and Sandas (2003)introduce costly monitoring ability for liquidity suppliers and analyze optimal intensity.”
Latency, liquidity and price discovery ☆ (2012, unknown): “(2009) and Hendershott and Riordan (2009), are the first to have access to detailed AT data.”
Algorithmic Trading and the Market for Liquidity (2013, background): “Foucault, Roëll, and Sandas (2003) study the equilibrium level of effort that liquidity suppliers should expend in monitoring the market.”
A Dynamic Limit Order Market with Fast and Slow Traders (2014, unknown): “E(τ∗) = φMO∗ ST φMO∗ ST + φ MO∗ FT E(τST ) + φMO∗ FT φMO∗ ST + φ MO∗ FT E(τFT ) (11)”