Internalization and Market Quality in a Fragmented Market Structure

2011 ◽  
Author(s):  
Daniel G. Weaver
Keyword(s):  
Market Structure ◽  
Market Quality

Tick size, market structure, and market quality

2010 ◽  
Vol 36 (1) ◽  
pp. 57-81 ◽  
Author(s):  
Kee H. Chung ◽  
Jangkoo Kang ◽  
Joon-Seok Kim
Keyword(s):  
Market Structure ◽  
Market Quality ◽  
Tick Size

scholarly journals How to Measure a Two-Sided Market

Entropy ◽  
2021 ◽  
Vol 23 (8) ◽  
pp. 962
Author(s):  
Wen Zheng ◽  
Xiaoming Yao
Keyword(s):  
Market Structure ◽  
Complex Network ◽  
Time Effect ◽  
Market Quality ◽  
Quantitative Index ◽  
Time Space ◽  
Market Capacity ◽  
Entropy Measurement ◽  
Market State ◽  
The Cost

Applying the theories of complex network and entropy measurement to the market, the two-sided market structure is analyzed in constructing the O2O platform transaction on the entropy measurement of the nodes and links. Market structure entropy (MSE) is initially introduced to measure the consistency degree of the individuals and the groups in the O2O market, according to the interaction in the profits, the time/space, and the information relationship. Considering that the market structure entropies are changing upward or downward, MSE is used to judge the consistency degree between the individuals and the groups. Respectively, considering the scale, the cost and the value dimensions, MSE is expanded to explain the market quality entropy, the market time-effect entropy, and the market capacity entropy.MSE provides a methodology in studying the O2O platform transaction and gives the quantitative index in the evaluation of the O2O market state.

Market structure, fragmentation, and market quality

2006 ◽  
Vol 9 (1) ◽  
pp. 49-78 ◽  
Author(s):  
Paul Bennett ◽  
Li Wei
Keyword(s):  
Market Structure ◽  
Market Quality

scholarly journals Market Microstructure Approach: A Review of Basic Concepts and Practices (Ending)

2019 ◽  
pp. 96-109
Keyword(s):  
Market Structure ◽  
Market Efficiency ◽  
Adverse Selection ◽  
Market Microstructure ◽  
Market Liquidity ◽  
Market Frictions ◽  
Market Quality ◽  
Financial Infrastructure ◽  
Clearing And Settlement ◽  
The Impact

The article gives an overview of the market microstructure approach, where modern financial infrastructure (trading, clearing and settlement) has for the first time become an object of dedicated research, contrary to traditional microeconomic models dealing with abstract demand, supply etc. apart from market realities. The market microstructure approach focuses on analysis of market frictions impacting on how new equilibriums are being come upon. Market frictions exist due to fragmented market structure and information asymmetries. Respectively, the article (Part 1) compares “market microstructure” and “market structure”; reveals drivers of spatial and temporal fragmentation (including breakdown of modern trading protocols and participation models); analyzes information (self-)learning of market and adverse selection; makes distinctions between “market quality”, “market efficiency” and “market liquidity”; and traces how the market efficiency and equilibrium concepts were evolving when market frictions drew attention. How the market microstructure approach may work is demonstrated in the course of a high-frequency trading (HFT) case study in Part 2 of the article. HFT has brought new evidence that market structure matters—both as an environment where tech innovations are only possible and as mechanisms to be adjusted to new challenges—and has outlined directions for further elaborations on basic microstructural concepts. The article associates HFT with market fragmentation, describes the impact of HFT on participation structure and market quality, summarizes predatory and similar practices of HFT and instruments to mitigate them, and clarifies the specifics of information asymmetry and adverse selection within the HFT framework.

scholarly journals Market Microstructure Approach: A Review of Basic Concepts and Practices

2019 ◽  
Vol 14 (2) ◽  
pp. 110-141
Keyword(s):  
Market Structure ◽  
Market Efficiency ◽  
Adverse Selection ◽  
Market Microstructure ◽  
Market Liquidity ◽  
Market Frictions ◽  
Market Quality ◽  
Financial Infrastructure ◽  
Clearing And Settlement ◽  
The Impact

The article gives an overview of the market microstructure approach, where modern financial infrastructure (trading, clearing and settlement) has for the first time become an object of dedicated research, contrary to traditional microeconomic models dealing with abstract demand, supply etc. apart from market realities. The market microstructure approach focuses on analysis of market frictions impacting on how new equilibriums are being come upon. Market frictions exist due to fragmented market structure and information asymmetries. Respectively, the article (Part 1) compares “market microstructure” and “market structure”; reveals drivers of spatial and temporal fragmentation (including breakdown of modern trading protocols and participation models); analyzes information (self-)learning of market and adverse selection; makes distinctions between “market quality”, “market efficiency” and “market liquidity”; and traces how the market efficiency and equilibrium concepts were evolving when market frictions drew attention. How the market microstructure approach may work is demonstrated in the course of a high-frequency trading (HFT) case study in Part 2 of the article. HFT has brought new evidence that market structure matters—both as an environment where tech innovations are only possible and as mechanisms to be adjusted to new challenges—and has outlined directions for further elaborations on basic microstructural concepts. The article associates HFT with market fragmentation, describes the impact of HFT on participation structure and market quality, summarizes predatory and similar practices of HFT and instruments to mitigate them, and clarifies the specifics of information asymmetry and adverse selection within the HFT framework.

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