Séminaires de recherche

Market Fragmentation, Fragility, and Welfare

Finance

Intervenant : Giovanni Cespa
City University London

5 novembre 2015


We study a two-period model in which two classes of dealers intermediate liquidity traders’ orders, and where markets are fragmented due to both an informational and a participation friction. ‘Fast’ dealers continuously monitor the market, thereby trading at both dates; normal dealers, instead, only trade in the first period. This setup generates propagation of liquidity shocks, liquidity complementarities, and potential multiple equilibria with different levels of liquidity. The model can explain market fragility and “flash crashes.” We assess the impact of a decrease in fragmentation on market quality and traders’ welfare. An increase in the mass of fast dealers can decrease liquidity. However, with transparent markets, liquidity and welfare are always increasing with market participation. Furthermore, equilibria with high liquidity are not necessarily associated with higher welfare.

Finance

Intervenant : Matthieu Bouvard
Desautels Faculty of Management

14 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Mikhail Simutin
Rotman School of Management

7 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Liyan Yang
Rotman School of Management

31 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Anton Lines
Columbia Business School

24 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Ian Martin
LSE

17 mai 2018 - De 14h00 à 15h15



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