Crossing Networks and Dealer Markets: Competition and Performance

By Terrence Hendershott, Haim Mendelson. 2000

240 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7f172de2efc80fa06902eb88bbf32d1056ac884f

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Citations in the corpus

Competition for Order Flow and Smart Order Routing Systems (2008, unknown): “For instance, Hendershott and Mendelson (2000) study competition between a dealer market and a crossing network.”
Liquidity-Based Competition for Order Flow (2003, background): “Hendershott and Mendelson (2000) model competition between call markets and dealer markets.”
Do Dark Pools Harm Price Discovery (2013, unknown): “On the exchange, a risk-neutral market maker sets 11This type of dark pool is also the prototype of existing models, including Hendershott and Mendelson (2000), Degryse, Van Achter, and Wuyts (2009), Ye (2011), and Buti, Rindi, and Werner (2011a). competitive bid and ask prices.”
Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network (2007, unknown): “Furthermore, note that the CN in our model also exhibits two opposing externalities, as in Hendershott and Mendelson (2000).”
Competing on Speed (2018, unknown): “Santos and Scheinkman (2001) study competition in margin requirements, while Foucault and Parlour (2004) study competition in listing fees.”
Institutional trading and alternative trading systems (2003, background): “For this 60%, the evidence is consistent with the conjecture in Hendershott and Mendelson (2000) that the dealer market will become the ‘‘market of last resort.’’ It is important to note, however, that their model is a single-period model capturing a static tradeoff, whereas the orders in our samp”
PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (2012, unknown): “qualitatively and quantitatively consistent results: It can be shown that the solution of the discrete-time singleasset model converges to the solution of the continuous-time model as the length of the trading periods tends to zero (provided the parameters are scaled appropriately, see Kratz [2011])”
Dark Trading and Price Discovery (2015, background): “For example, inventory control models such as Ho and Stoll (1981) show that inventory management by liquidity providers causes negative autocorrelation in midquote returns.”
Trading Rules, Competition for Order Flow and Market Fragmentation (2015, background): “…model an informed trader’s choice between trading in a dark pool and a traditional exchange, but draw conflicting conclusions depending on the model parameters and type of private information assumed (see Hendershott and Mendelson, 2000; Buti, Rindi, and Werner, 2011a; Ye, 2011; and Zhu, 2014).”
Island Goes Dark: Transparency, Fragmentation, and Regulation (2005, background): “…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 market.”
Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets * (2001, background): “Examples comprise, but are not limited to, the advent of proprietary trading systems like Instinet, the development of Tradepoint in the UK and the introduction of a fully computerized trading system as a complement to existing floor-based exchanges in Germany.”
Market Microstructure: A Survey (2000, unknown): “See, for example, Biais (1993), Chowdhry and Nanda (1991), Madhavan (1995), and Hendershott and Mendelson (2000), among others.”