| Rakesh Vohra (University of Pennsylvania). |
| On market fragmentation |
| Abstract Centralized markets reduce the costs of search for buyers and sellers. More importantly, their `thickness' increases the chance of order execution at competitive prices. In spite of the incentives to consolidate, some markets, securities markets being the most notable, have fragmented into multiple trading venues. We argue in this paper that fragmentation is an unavoidable feature of any centralized exchange except in certain special circumstances. Based on joint work with Ahmad Peivandi. |