Les Cahiers de Recherche - HEC Paris
Competition for order flow and smart order routing systems
() and Albert Menkveld
Abstract: In this paper, the authors study the changes in liquidity
following the introduction of a new electronic limit order market when,
prior to its introduction, trading is centralized in a single limit order
market. They also study how automation of routing decisions and trading
fees affect the relative liquidity of rival markets.
Keywords: market fragmentation; centralized limit order book; smart routers; trading fees; trade-throughs; (follow links to similar papers)
JEL-Codes: F02; F12; F18; (follow links to similar papers)
61 pages, January 1, 2006
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