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Quasi-centralized limit order books

Abstract:

A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. In this paper, we perform an empirical analysis of a recent, high-quality data set from a large electronic trading platform that utilizes QCLOBs to facilitate trade. We argue that the quoterelative framework often used to study other LOBs is not a sensible reference frame...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1080/14697688.2016.1247980

Authors


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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Oxford-Man Institute of Quantitative Finance More from this funder
James S. McDonnell Foundation More from this funder
Publisher:
Taylor and Francis Publisher's website
Journal:
Quantitative Finance Journal website
Volume:
17
Issue:
6
Pages:
831-853
Publication date:
2017-01-09
Acceptance date:
2016-09-28
DOI:
EISSN:
1469-7696
ISSN:
1469-7688
Source identifiers:
647848
Keywords:
Pubs id:
pubs:647848
UUID:
uuid:92dc26f2-3d3b-43d9-b14b-26456fcd24e3
Local pid:
pubs:647848
Deposit date:
2016-10-03

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