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Actes d'une conférence (2003), EFMA Basel Meeting, SSRN

Why is there heterogeneity among dealers' behavior during the Nasdaq preopening session?

Lescourret Laurence , Robert Christian

Order preferencing enables a market-maker to execute captive order flow off the primary market. This practice is known to generate wider spreads due to its anti-competitive effects. It also increased inventory risks for dealers. The Nasdaq preopening offers a laboratory to test whether market-makers use non-binding prices as a tool to control their inventory position. Our findings corroborate our main hypothesis that the Nasdaq non-trading mechanism incorporates inventory information into prices.

LESCOURRET, L. and ROBERT, C. (2003). Why is there heterogeneity among dealers' behavior during the Nasdaq preopening session? In: EFMA Basel Meeting. SSRN.

Mots clés : #market-microstructurepreopening, #inventory-management