虹吸分离：从投资组合角度看订单流细分

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-02-21 DOI:10.1016/j.jfineco.2024.103807

Markus Baldauf , Joshua Mollner , Bart Zhou Yueshen

{"title":"虹吸分离：从投资组合角度看订单流细分","authors":"Markus Baldauf , Joshua Mollner , Bart Zhou Yueshen","doi":"10.1016/j.jfineco.2024.103807","DOIUrl":null,"url":null,"abstract":"<div><p>We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"154 ","pages":"Article 103807"},"PeriodicalIF":10.4000,"publicationDate":"2024-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000308/pdfft?md5=0682fc27553a4b32b7262e57423aed8f&pid=1-s2.0-S0304405X24000308-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Siphoned apart: A portfolio perspective on order flow segmentation\",\"authors\":\"Markus Baldauf , Joshua Mollner , Bart Zhou Yueshen\",\"doi\":\"10.1016/j.jfineco.2024.103807\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.</p></div>\",\"PeriodicalId\":51346,\"journal\":{\"name\":\"Journal of Financial Economics\",\"volume\":\"154 \",\"pages\":\"Article 103807\"},\"PeriodicalIF\":10.4000,\"publicationDate\":\"2024-02-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S0304405X24000308/pdfft?md5=0682fc27553a4b32b7262e57423aed8f&pid=1-s2.0-S0304405X24000308-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0304405X24000308\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304405X24000308","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们研究的是分散市场中的流动性供应。做市商介于异质订单流之间，在价差收入与库存成本之间进行交易。将我们的模型应用于订单流支付（PFOF），我们证明了基于投资组合的库存管理考虑会激励做市商通过将零售订单抽离交易所来分割这些订单。禁止订单流分割会降低总福利，使所有投资者的交易成本更高，并能解决做市商之间的囚徒困境。这些结果使我们基于库存的模型有别于现有的基于信息的 PFOF 理论。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Siphoned apart: A portfolio perspective on order flow segmentation

We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.