Abstract
Strengthening competition in the equity markets has long been a major public policy objective. This paper turns to another important determinant of market quality, one that has received relatively little attention in the public policy debates: order integration — the way in which orders are matched together and turned into trades. A conceptual framework is set forth, and simulation analysis undertaken in a laboratory-type setting. We find that imperfect order integration can generate the accentuated intra-day volatility, kurtosis, and returns autocorrelation that characterize the dynamic behavior of prices. The analysis has important implications for market structure and regulatory policy.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
