News: Feb 19, 2017
Welcome to a CFF Research seminar with Ingrid Werner, Ohio State University, May 3
Title: "Trading Fees and Intermarket Competion"
Day: Wednesday May 3
Time: 12 p.m.
Place: F45, Vasagatan 1, School of Business, Economics and Law
We model an order book with liquidity rebates (make fees) and trading fees (take fees) that faces intermarket competition, and use the model's insights to explain changes in market quality and market shares following changes in make-take fees. As predicted by our model, we document that fee changes by one venue affect market quality and market shares for all venues that compete for order flow. Furthermore, we document cross-sectional differences in changes in market quality and market shares following a simultaneous decrease in both make and take fees consistent with traders in large (small) capitalization stocks being more sensitive to the change in make (take) fees.
The seminar is scheduled for approximately one hour and mainly addresses the research community, registration is not required.