小市场中的大订单：内生流动性供应的执行

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2024-09-17 DOI:10.1093/rof/rfae036

Agostino Capponi, Albert J Menkveld, Hongzhong Zhang

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引用次数: 0

摘要

我们模拟了在有战略性竞争做市商存在的情况下执行大额无信息卖盘的情况。我们以封闭形式求解了该模型的唯一对称均衡。对这一均衡的分析表明，大额订单明确有利于做市商，而小投资者只有在订单交易强度足够高时才能获益。均衡结果进一步为以下经验观察到的模式提供了理论依据：(i) 较短订单以较高强度进行交易；(ii) 价格压力可能在大订单停止执行之前消退。

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Large Orders in Small Markets: Execution with Endogenous Liquidity Supply

We model the execution of a large uninformed sell order in the presence of strategic competitive market makers. We solve for the unique symmetric equilibrium of the model in closed form. Analysis of this equilibrium reveals that large orders unequivocally benefit market makers, while smaller investors stand to benefit only if the order trades with a sufficiently high intensity. The equilibrium results further provide a rationale for the empirically observed patterns of (i) shorter orders trading at higher intensities, and (ii) price pressures potentially subsiding before large orders stop executing.

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.