Why do dealers buy high and sell low? An analysis of persistent crossing in extremely segmented markets

DOI10.1093/ROF/RFW033zbMATH Open1402.91864OpenAlexW3121261521MaRDI QIDQ4555656FDOQ4555656

Authors: Vladimir Atanasov, John J. Jun. Merrick, Philipp Schuster 

Publication date: 20 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5b705170679de2bb740d56aa266fa844f177abee

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zbMATH Keywords

fragmentationfrictionscrossingmortgage-backed securitiessuitability

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cited In (1)

• Trading under market impact: crossing networks interacting with dealer markets

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