Liquidity Supply across Multiple Trading Venues

Laurence Lescourret 1 Sophie Moinas 2
2 Finance
CRM - Centre de Recherche en Management
Abstract : Financial markets are increasingly fragmented. How to supply liquidity in this environment? Using an inventory model, we analyze how two strategic intermediaries compete across two venues that can be hit simultaneously by liquidity shocks of equal or opposite signs. Although order flow is fragmented ex-ante, we show that intermediaries might strategically consolidate it ex-post, improving global liquidity. We also fi nd that local spreads co-move together across venues as a result of global inventory management. Using Euronext proprietary data, we uncover new evidence of inventory control across venues and fi nd that local spreads vary in a way uniquely predicted by the model.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [39 references]  Display  Hide  Download

https://hal-essec.archives-ouvertes.fr/hal-01137813
Contributor : Michel Demoura <>
Submitted on : Tuesday, March 31, 2015 - 3:01:03 PM
Last modification on : Friday, March 22, 2019 - 1:27:08 AM
Long-term archiving on : Tuesday, April 18, 2017 - 6:20:58 AM

File

WP1505.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-01137813, version 1

Citation

Laurence Lescourret, Sophie Moinas. Liquidity Supply across Multiple Trading Venues. 2015. ⟨hal-01137813⟩

Share

Metrics

Record views

236

Files downloads

627