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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. 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 find many significant differences between our results and those widely reported for other LOBs. We also uncover a rema...

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Porter, MA More by this author
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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Publication date:
2015-02-02
URN:
uuid:a67f12bc-1652-4404-97ea-2b446d688953
Source identifiers:
506872
Local pid:
pubs:506872
Keywords:

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