Informed Trading and Maker Taker Fees in a Low Latency Limit


Informed Trading and Maker Taker Fees in a Low Latency Limit


Price competition between informed limit order submitters and professional market makers allows us to capture tradeoffs between informed limit and market orders in a methodologically simple way. We apply our model to study maker-taker fees a prevalent, but controversial exchange fee system that pays a maker rebate for liquidity provision and levies a taker fee for informedtrades forexpros removal.

When maker-taker fees are passed through to all traders, only the total exchange fee per transaction has an economic impact, consistent with previous literature. However, when investors pay only the average exchange fee thWhere you can find me Stern Market Microstructure Meeting 18-19. May. 2017New York, NYCEA Meeting 1-4. June. 2017Antigonish, NSWFA Meeting 25-28.

Jun. 2017Whistler, BCNFA Meeting 15-17. Sep. 2017Halifax, NSAFA Meeting 5-7. Jan. 2018Philadelphia, PA. Publications Quadratic Oil Extraction Oligopoly(joint with John M. HaAboutI am currently an Assistant Professor of Finance in the Lazaridis School of Business and Economics at Wilfrid Laurier University. My research focuses primarily on theoretical modelling of issues in market microstructure, with a particular interest in problems of asymmetric information.

AbstractWe model a financial market where privately informed investors trade in a limit order book monitored by professional liquidity providers. We apply our model to study maker-taker fees --- a prevalent, but controversial exchange fee system that pays a maker rebate for liquidity provision and levies a taker fee for liquidity removal. Price competitionbetween informed limit order submitters and professional market makersallows us to capture tradeoffs between informed limit and market orders in amethodologically simple way.

We apply our model to study maker-taker fees —a prevalent, but controversial exchange fee system.




Informed Trading and Maker Taker Fees in a Low Latency Limit

Informed in Low Maker Taker and Latency Fees a Limit Trading


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