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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
Version:
Accepted manuscript

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Publisher copy:
10.1080/14697688.2016.1247980

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Department:
Oxford, MPLS, Mathematical Institute
Role:
Author
More by this author
Department:
Oxford, MPLS, Mathematical Institute
Role:
Author
Oxford-Man Institute of Quantitative Finance More from this funder
James S. McDonnell Foundation More from this funder
Publisher:
Taylor & 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
Pubs id:
pubs:647848
URN:
uri:92dc26f2-3d3b-43d9-b14b-26456fcd24e3
UUID:
uuid:92dc26f2-3d3b-43d9-b14b-26456fcd24e3
Local pid:
pubs:647848

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