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SUMMARY:Strategic Intermediation in Liquidity Markets
DTSTART:20200918T143000
DTEND:20200918T160000
DTSTAMP:20260507T065507Z
UID:878ed2b43afac19506658a187ba0899811f9d37cbd013e14ab7c8785
CATEGORIES:Conferences - Seminars
DESCRIPTION:Uday RAJAN\, University of Michigan\nWe develop a model of com
 petition between two exchanges\, which we view as platforms on which liqui
 dity is demanded and supplied. The model has a single financial asset\, an
 d features competitive liquidity suppliers\, a liquidity demander\, and tw
 o kinds of strategic intermediaries. The first kind is an HFT that can act
  as a strategic intermediary between the competitive suppliers and the liq
 uidity demander. The second kind is a broker who has the technology to det
 ermine optimal order routing across the exchanges. Each exchange earns rev
 enue by charging make fees to liquidity suppliers and take fees to liquidi
 ty demanders. We highlight how the make-take fees on each exchange affect 
 the strategies of the HFT and the broker\, and thus the properties of each
  exchange such as volume and spread. We present empirical evidence on the 
 importance of fee splits.
LOCATION:Zoom
STATUS:CONFIRMED
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