Details
NAME
Markus Baldauf
INSTITUTION
University of British Columbia
EMAIL
baldauf@mail.ubc.ca
Featured Work
2023
Competition and Information Leakage
Apr 26,2023
When seeking to trade in over-the-counter markets, institutional investors typically contact only a small number of potential counterparties and limit...
Principal Trading Arrangements: Optimality under Temporary and Permanent Price Impact
Apr 26,2023
We study the optimal execution problem in a principal-agent setting. A client (e.g., a pension fund, endowment, or other institution)...
Siphoned Apart: A Portfolio Perspective on Order Flow Segmentation
Apr 26,2023
We study liquidity provision in fragmented markets. Market makers intermediate heterogeneous order flows, trading off expected spread revenue against inventory...