English, Article, Journal or magazine article edition: The Immediacy Implications of Exchange Orgzanization James T. Moser

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Bookmark: http://trove.nla.gov.au/version/190405
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Immediacy Implications of Exchange Orgzanization
Author
  • James T. Moser
Physical Description
  • preprint
Notes
  • The paper introduces a connection between the needs of exchanges to respond to the immediacy needs of their clientele and the need to manage the credit risks faced by exchange members. Queueing theory is used to represent the opportunity loss suffered by brokers engaging in multiple activities: order-flow origination and its intermediation. The role of market-making locals is depicted as enabling specialization. Brokers focus on originating order flow and locals on fulfilling intermediation needs. The capacity to specialize is constrained by the availability of creditworthy members acting as locals. This results in a tension between pursuit of immediacy and managing inter-member credit exposure. Two exchange rules, tick size and price limits, are evaluated for their effects in resolving this tension.
  • RePEc:wop:pennin:02-11
Language
  • English
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