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

DOI10.1093/ROF/RFW033MaRDI QIDQ4555656zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

fragmentationfrictionscrossingmortgage-backed securitiessuitability

Mathematics Subject Classification ID

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

Recommendations

• Trading under market impact: crossing networks interacting with dealer markets
• Liquidity in competitive dealer markets
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• Financially constrained arbitrage in illiquid markets
• Strategic cross-trading in the U.S. stock market

Cited in

(1)

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

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