David A. Cimon

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Staff Working Papers

Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays

Staff Working Paper 2018-16 Michael Brolley, David A. Cimon
Latency delays—known as “speed bumps”—are an intentional slowing of order flow by exchanges. Supporters contend that delays protect market makers from high-frequency arbitrage, while opponents warn that delays promote “quote fading” by market makers. We construct a model of informed trading in a fragmented market, where one market operates a conventional order book and the other imposes a latency delay on market orders.

Banking Regulation and Market Making

Staff Working Paper 2017-7 David A. Cimon, Corey Garriott
We model how securities dealers respond to regulations on leverage, position, and liquidity such as those imposed by the Basel III framework. The dealers respond by endogenously moving to make markets on an agency basis, matching buyers to sellers rather than taking client positions on the balance sheet.

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