http://www.bis.org/cbhub/list/author/author_9883/index.rss Research hub papers by author Peter Hoffmann en http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1755.en.pdf European Central Bank Working papers by Peter Hoffmann, Simone Manganelli, Carlos Garcia de Andoain Fragmentation in the euro overnight unsecured money market 2014-12-19T12:31:59Z This paper examines the degree of fragmentation in the Euro overnight unsecured money market during the period June 2008 August 2013 using interbank loans constructed from payments data. After controlling for cross-country differences in bank risk, we document several episodes of significant market fragmentation. While non-standard measures such as the provision of long-term liquidity were successful in reducing tensions, considerable signs of market fragmentation remained at the end of the sample period. Fragmentation in the euro overnight unsecured money market 2014-12-19T12:31:59Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1755.en.pdf Simone Manganelli Carlos Garcia de Andoain Peter Hoffmann Peter Hoffmann, Simone Manganelli, Carlos Garcia de Andoain 2014-12-19 European Central Bank Working papers E5 G1 http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1526.pdf European Central Bank Working papers by Peter Hoffmann A dynamic limit order market with fast and slow traders, 2013-03-13T17:34:59Z We study the role of high-frequency trading in a dynamic limit order market. Being fast is valuable because it enables traders to revise outstanding limit orders upon news arrivals when interacting with slow market participants. On the one hand, the existence of fast traders can help to reduce the inefficiency that is rooted in the risk of being "picked off" after unfavourable price movements and therefore allows more gains from trade to be realized. On the other hand, slow traders face a relative loss in bargaining power which leads them to strategically submit limit orders with a lower execution probability, thereby reducing trade. Due to this negative externality, the equilibrium level of investment is always welfare-reducing. The model generates additional testable implications regarding the e¤ects of high-frequency trading on order flow statistics. A dynamic limit order market with fast and slow traders, 2013-03-13T17:34:59Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1526.pdf Peter Hoffmann Peter Hoffmann 2013-03-13 European Central Bank Working papers http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1519.pdf European Central Bank Working papers by Peter Hoffmann Adverse selection, market access and inter-market competition, 2013-03-04T17:34:59Z We study the role of informed trading in a fragmented financial market under the absence of inter-market price priority. Due to frictions in traders' market access, liquidity providers on alternative trading platforms may be exposed to an increased adverse selection risk. As a consequence, the main market dominates (offers better quotes) frequently albeit charging higher transaction fees. The empirical analysis of a dataset of trading in French and German stocks suggests that trades on Chi-X, a lowcost trading platform, carry significantly more private information than those executed in the Primary Markets. Consistent with our theory, we find a negative relationship between the competitiveness of Chi-X's quotes and this excess adverse selection risk faced by liquidity providers in the cross-section. Our results have some implications for the design of best-execution policies. Adverse selection, market access and inter-market competition, 2013-03-04T17:34:59Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1519.pdf Peter Hoffmann Peter Hoffmann 2013-03-04 European Central Bank Working papers