Details
NAME
Markus Baldauf
INSTITUTION
University of British Columbia
EMAIL
baldauf@mail.ubc.ca
Featured Work
2024
Competition and Information Leakage
May 17,2024
When seeking to trade in over-the-counter markets, institutional investors typically restrict both the number of potential counterparties they contact and...
Show Previous Versions2023
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...
Block Trade Contracting
Jun 12,2024
We study the optimal execution problem in a principal-agent setting. A client contracts to purchase from a dealer. The dealer...
Show Previous Versions2024
Block Trade Contracting
Jun 12,2024
We study the optimal execution problem in a principal-agent setting. A client contracts to purchase from a dealer. The dealer...
2023
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
May 16,2024
We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs....
Show Previous Versions2023
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...