HEC Research Papers Series,
HEC Paris

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

JEL-codes: F02; F12; F18

61 pages, January 1, 2006

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