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Information Technology and Trader Competition in Financial Markets: Endogenous Liquidity

Authors:

Sanjeev Dewan,

Haim MendelsonAuthors Info & Claims

Management Science, Volume 47, Issue 12

Pages 1581 - 1587

Published: 01 December 2001 Publication History

Abstract

This note integrates the models of Dewan and Mendelson 1998 DM and Kyle 1985, extending the DM analysis of time-based competition in financial markets to the case of endogenous liquidity. The results enable us to examine the link between information technology investments, trading strategies, and liquidity.

References

[1]

Dewan, S., H. Mendelson. 1998. Information technology and timebased competition in financial markets. Management Sci. 44(5) 595-609.

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[2]

Holden, C. W., A. Subrahmanyam. 1992. Long-lived private information and imperfect competition. J. Finance XLVII(1) 247-270.

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[3]

Kyle, A. S. 1985. Continuous auctions and insider trading. Econometrica 53(6) 1315-1335.

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[4]

Madhavan, A. 1992. Trading mechanisms in securities markets. J. Finance XLVII(2) 607-641.

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[5]

Mendelson, H., T. Tunca. 2001. Strategic trading, liquidity and information acquisition. Working paper, Graduate School of Business, Stanford University, Stanford, CA.

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Cited By

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Biais BBisière CPouget S(2019)Equilibrium Discovery and Preopening Mechanisms in an Experimental MarketManagement Science10.5555/2778309.277831060:3(753-769)Online publication date: 5-Jan-2019
https://dl.acm.org/doi/10.5555/2778309.2778310
Afanasyev MMendelson H(2018)Service Provider CompetitionManufacturing & Service Operations Management10.1287/msom.1090.026612:2(213-235)Online publication date: 24-Dec-2018
https://dl.acm.org/doi/10.1287/msom.1090.0266
Man KWang JWu C(2013)Price Discovery in the U.S. Treasury MarketManagement Science10.1287/mnsc.1120.155959:3(695-714)Online publication date: 1-Mar-2013
https://dl.acm.org/doi/10.1287/mnsc.1120.1559

Index Terms

Information Technology and Trader Competition in Financial Markets: Endogenous Liquidity
1. Applied computing
  1. Enterprise computing
  2. Operations research
    1. Marketing

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Published In

Management Science Volume 47, Issue 12

December 2001

152 pages

ISSN:0025-1909

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INFORMS

Linthicum, MD, United States

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Published: 01 December 2001

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Biais BBisière CPouget S(2019)Equilibrium Discovery and Preopening Mechanisms in an Experimental MarketManagement Science10.5555/2778309.277831060:3(753-769)Online publication date: 5-Jan-2019
https://dl.acm.org/doi/10.5555/2778309.2778310
Afanasyev MMendelson H(2018)Service Provider CompetitionManufacturing & Service Operations Management10.1287/msom.1090.026612:2(213-235)Online publication date: 24-Dec-2018
https://dl.acm.org/doi/10.1287/msom.1090.0266
Man KWang JWu C(2013)Price Discovery in the U.S. Treasury MarketManagement Science10.1287/mnsc.1120.155959:3(695-714)Online publication date: 1-Mar-2013
https://dl.acm.org/doi/10.1287/mnsc.1120.1559

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Recommendations

Information Technology and Time-Based Competition in Financial Markets

Analyzing the Role of Noise Trader in Financial Markets through Agent-Based Modelling

Clarification of the price fluctuation mechanism in financial markets: disparity in forecast accuracy among investors and asset price fluctuations

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