Make-take decisions under high-frequency trading competition
| Author | dc.contributor.author | Bernales, Alejandro | |
| Admission date | dc.date.accessioned | 2019-10-11T17:30:06Z | |
| Available date | dc.date.available | 2019-10-11T17:30:06Z | |
| Publication date | dc.date.issued | 2019 | |
| Cita de ítem | dc.identifier.citation | Journal of Financial Markets, Volumen 45, | |
| Identifier | dc.identifier.issn | 13864181 | |
| Identifier | dc.identifier.other | 10.1016/j.finmar.2019.05.001 | |
| Identifier | dc.identifier.uri | https://repositorio.uchile.cl/handle/2250/171251 | |
| Abstract | dc.description.abstract | © 2019 Elsevier B.V.The make-take preferences of investors depend on high-frequency trading (HFT) competition, under which HFT firms endogenously acquire speed and informational advantages. In the case where there are many HFT firms in the market, they compete more through limit orders; meanwhile, in the case with few HFT firms, they compete more through market orders that “pick-off" limit orders coming from the big crowd of slow traders. In the former (latter) case, additional HFT competition improves (damage) liquidity. In both cases, HFT competition improves informational efficiency and reduces microstructure noise. Finally, I use the model to analyze potential regulations under HFT competition. | |
| Lenguage | dc.language.iso | en | |
| Publisher | dc.publisher | Elsevier B.V. | |
| Type of license | dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Chile | |
| Link to License | dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ | |
| Source | dc.source | Journal of Financial Markets | |
| Keywords | dc.subject | High-frequency trading competition | |
| Keywords | dc.subject | Limit order market | |
| Keywords | dc.subject | Make-take decisions | |
| Keywords | dc.subject | Market quality | |
| Keywords | dc.subject | Welfare | |
| Título | dc.title | Make-take decisions under high-frequency trading competition | |
| Document type | dc.type | Artículo de revista | |
| Cataloguer | uchile.catalogador | SCOPUS | |
| Indexation | uchile.index | Artículo de publicación SCOPUS | |
| uchile.cosecha | uchile.cosecha | SI |
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Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Chile