Economics, Econometrics and Finance
4 years ago

Trading venue fragmentation impacts market quality in non-linear, complex ways.

A semiparametric model for heterogeneous panel data with fixed effects
Michael Vogt, Lena Boneva, Oliver Linton

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The article introduces a new method to analyze large sets of data in finance and economics. The method allows for different effects of variables and hidden factors on the data. By studying the impact of trading venue fragmentation on market quality, the researchers found that market quality is better under perfect competition compared to monopoly, but the change between the two is complex and not straightforward.