Speaker: Dr Marios Panayides (University of Oklahoma)
Hosted by: University of Liverpool Management School's Accounting and Finance Group
Open to: all University of Liverpool staff and students, with no sign up needed
Date: Friday 10 November 2023
Time: 11:00 - 12:15
Place: Management School - Seminar Room 1 (first floor)
Abstract
We study the 2013 changes in maker-taker pricing fees implemented by BATS on its two European venues, CXE and BXE. The CXE rebate reduction deteriorates market quality and market share, whereas the BXE rebate removal and take-fee reduction improve them. We derive a model of two competing limit order books, in which large (small) stocks are characterized by investors with higher (lower) propensity to supply liquidity and by greater (lower) trading activity. Consistent with our model, we show that traders in large stocks are more reactive to rebate reductions while traders in small stocks are more reactive to take-fee reductions.
Co-authored by Marios Panayides, Barbara Rindi and Ingrid M. Werner.
Keywords
Trading Fees, Access Fees, Maker-Taker Pricing, Intermarket Competition, Limit Order Book
Speaker
Marios Panayides, Associate Professor of Finance earned a Ph.D. from Yale University, an M.A. in statistics from Yale University, an M.A. in mathematical sciences from Oxford University, and a bachelor’s degree in mathematical sciences with First Class Honors from Oxford University.
His research interests include market microstructure, market efficiency, information dissemination, econometric techniques, and industrial organization. His work has appeared in top finance journals, including the Journal of Financial Economics, Journal of Financial and Quantitative Analysis and Journal of Financial Intermediation, and has been presented at numerous finance conferences.
He earned the Best Paper Award at the Multinational Finance Society Meetings in 2015 and the Financial Management Association Annual Meeting in 2009. He also has multiple teaching awards both at the undergraduate and graduate levels (MBA).
Prior to the University of Oklahoma, he was a faculty member at the University of Utah, University of Pittsburgh, and University of Cyprus. Marios was also a visiting professor at Bocconi University and Université Paris-Dauphine.
Back to: Management School