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An investigation of market fragmenta...

University of Southern California.

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An investigation of market fragmentation and the specialist's quotation strategy.

Record Type:	Electronic resources : Monograph/item
Title/Author:	An investigation of market fragmentation and the specialist's quotation strategy./
Author:	Ye, Jia.
Description:	97 p.
Notes:	Adviser: Lawrence Harris.
Contained By:	Dissertation Abstracts International57-03A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9621734

An investigation of market fragmentation and the specialist's quotation strategy.
Ye, Jia.

An investigation of market fragmentation and the specialist's quotation strategy. - 97 p.

Adviser: Lawrence Harris.

Thesis (Ph.D.)--University of Southern California, 1995.

The dissertation consists of three essays on market microstructure. The first essay analyzes the quotation behavior of an exchange specialist who quotes both prices and sizes. The specialist is assumed to maximize expected profits from trading, given trader characteristics, constraints imposed by the limit order book, and rules governing exchange order precedence and minimum quotation-size. It is shown that the specialist simultaneously increases bid-ask spreads and decreases quotation sizes when informed trading increases, and more generally treats quotation price management and size management as complementary activities. In addition, the specialist is likely to improve the book quotes and provide more liquidity under the public order precedence rule than under alternative rules.Subjects--Topical Terms:

626650
Economics, Finance.

An investigation of market fragmentation and the specialist's quotation strategy.
LDR:03311nmm 2200277 a 45 001 886457
005 20101007
008 101007s1995 ||||||||||||||||| ||eng d
035 $a (UMI)AAI9621734
035 $a AAI9621734
040 $a UMI $c UMI
100 1 $a Ye, Jia. $3 1058154
245 1 3 $a An investigation of market fragmentation and the specialist's quotation strategy.
300 $a 97 p.
500 $a Adviser: Lawrence Harris.
500 $a Source: Dissertation Abstracts International, Volume: 57-03, Section: A, page: 1260.
502 $a Thesis (Ph.D.)--University of Southern California, 1995.
520 $a The dissertation consists of three essays on market microstructure. The first essay analyzes the quotation behavior of an exchange specialist who quotes both prices and sizes. The specialist is assumed to maximize expected profits from trading, given trader characteristics, constraints imposed by the limit order book, and rules governing exchange order precedence and minimum quotation-size. It is shown that the specialist simultaneously increases bid-ask spreads and decreases quotation sizes when informed trading increases, and more generally treats quotation price management and size management as complementary activities. In addition, the specialist is likely to improve the book quotes and provide more liquidity under the public order precedence rule than under alternative rules.
520 $a The second and the third essays analyze the effect of order flow fragmentation on crossing networks and primary markets. The second essay develops a model. The main result is that crossing networks improve the price discovery process by generating informative residual orders that are sent back and executed in primary markets. These residual orders are shown to have a negative impact on primary market liquidity. By comparing the liquidity and price discovery process in the primary market before and after the introduction of a crossing network, I find that the value of information is higher, and thus more traders choose to become informed when there is a crossing network. Consequently, primary market prices are more efficient and liquidity is lower in an economy with a crossing network than in one without.
520 $a The third essay tests the implications derived in the second essay. The main finding is that there is a positive relation between the direction of buy minus sell order imbalance in the crossing system and the direction of close-to-open price change in the primary market. This is consistent with the idea that order imbalance reflects private information about prices. Such an interpretation is supported by a second finding: the impact of the residual orders on the primary market price is more pronounced for stocks with high informational asymmetry risks. There is also evidence that the liquidity in the primary market is low when there were a large number of unfilled orders in the previous crossing session. Trades involving highly liquid stocks or those with low information risk are found to have high execution rates.
590 $a School code: 0208.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 $a University of Southern California. $3 700129
773 0 $t Dissertation Abstracts International $g 57-03A.
790 $a 0208
790 1 0 $a Harris, Lawrence, $e advisor
791 $a Ph.D.
792 $a 1995
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9621734