Competition for Order Flow and Smart Order Routing Systems

By Thierry Foucault, Albert J. Menkveld. 2008

306 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9002c5b9e697095bb5bc6c46771ff90cd0174633

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Citations in the corpus

High‐Frequency Trading and Market Performance (2020, unknown): “and Milgrom (1985), Kyle (1985), Glosten (1994), and Back and Baruch (2004).”
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market: Rise of the Machines (2009, unknown): “[20] Foucault, T.”
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (2013, methodology): “A Smart Order Router (see [15] for an efficiency study or [31] for a generic presentation) is a device containing a software dedicated to “smartly route” orders.”
Competing on Speed (2018, unknown): “For example, Santos and Scheinkman (2001) study competition in margin requirements, and Foucault and Parlour (2004) study competition in listing fees. These papers do not analyze speed differentiation and thus justifiably consider static frameworks. Our focus on technological speed reflects its prom”
Middlemen in Limit Order Markets (2016, unknown): “The inside spread is, effectively, what investors with ‘smart routers’ pay (see Foucault and Menkveld (2008)).”
Dark Trading and Price Discovery (2015, background): “Fragmentation can also benefit markets through increased competition between trading venues, which can lower trading costs (e.g., Foucault and Menkveld, 2008; Colliard and Foucault, 2012).”
Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network (2007, unknown): “Examples include Glosten (1998), Foucault and Parlour (2004), Shy and Tarkka (2001), Santos and Scheinkman (2001), Di Noia (2001), Viswanathan and Wang (2002), Chemmanur and Fulghieri (2003), Parlour and Seppi (2003) and Foucault and Menkveld (2005) .”
Liquidity Cycles and Make/Take Fees in Electronic Markets (2013, unknown): “Using equation (14), it is readily checked that Ω∗ = 1 if and only if z = 2N−1 2M−1 .”
Price Discovery without Trading: Evidence from Limit Orders (2019, background): “7 In contrast, Foucault and Menkveld (2008) find that the lack of formal market linkages discourages liquidity supply.”