Siphoned apart: A portfolio perspective on order flow segmentation

Siphoned apart: A portfolio perspective on order flow segmentation

We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize marke...

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Bibliographic Details
Main Authors: BALDAUF, Markus, MOLLNER, Joshua, YUESHEN, Bart Zhou
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Inventory management
Market making
Order flow segmentation
Payment for order flow
Retail trading
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/7480
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8479/viewcontent/1_s2.0_S0304405X24000308_pvoa_nc_nd.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/7480
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8479/viewcontent/1_s2.0_S0304405X24000308_pvoa_nc_nd.pdf

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