All Outputs (7)

The Cost of Clearing Fragmentation (2023)
Journal Article
Benos, E., Huang, W., Menkveld, A. J., & Vasios, M. (2024). The Cost of Clearing Fragmentation. Management Science, 70(6), 3581-3596. https://doi.org/10.1287/mnsc.2023.4867

Fragmenting clearing across multiple central counterparties (CCPs) is costly because global dealers cannot net positions across CCPs. They have to collateralize both the short position in one CCP and an offsetting long position in another CCP. This,... Read More about The Cost of Clearing Fragmentation.

Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act (2018)
Journal Article
Benos, E., Payne, R., & Vasios, M. (2020). Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act. Journal of Financial and Quantitative Analysis, 55(1), 159-192. https://doi.org/10.1017/S0022109018001527

We use proprietary transaction data on interest rate swaps to assess the effects of centralized trading, as mandated by Dodd-Frank, on market quality. Contracts with the most extensive centralized trading see liquidity metrics improve by between 12%... Read More about Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act.

Funding constraints and liquidity in two-tiered OTC markets (2018)
Journal Article
Benos, E., & Žikeš, F. (2018). Funding constraints and liquidity in two-tiered OTC markets. Journal of Financial Markets, 39, 24-43. https://doi.org/10.1016/j.finmar.2018.01.002

Using primary dealer transactional data from the government bond (gilt) market in the United Kingdom, we identify a new channel through which dealer funding constraints may impair liquidity in two-tiered OTC markets. The key finding is that funding c... Read More about Funding constraints and liquidity in two-tiered OTC markets.

The impact of de-tiering in the UK's large value payment system (2018)
Journal Article
Benos, E., Ferrara, G., & Gurrola-Perez, P. (2018). The impact of de-tiering in the UK's large value payment system. Journal of Financial Market Infrastructures, 6(2/3), 1-32. https://doi.org/10.21314/JFMI.2018.088

Large-value payment systems (LVPS) often have a tiered structure where only a limited number of banks have direct access to these systems and every other institution accesses the system through agency arrangements with the direct participants. As suc... Read More about The impact of de-tiering in the UK's large value payment system.

Interactions among High-Frequency Traders (2017)
Journal Article
Benos, E., Brugler, J., Hjalmarsson, E., & Zikes, F. (2017). Interactions among High-Frequency Traders. Journal of Financial and Quantitative Analysis, 52(4), 1375-1402. https://doi.org/10.1017/S0022109017000485

Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price efficiency.... Read More about Interactions among High-Frequency Traders.

Price discovery and the cross-section of high-frequency trading (2016)
Journal Article
Benos, E., & Sagade, S. (2016). Price discovery and the cross-section of high-frequency trading. Journal of Financial Markets, 30, 54-77. https://doi.org/10.1016/j.finmar.2016.03.004

We quantify the price discovery contribution of high-frequency traders (HFTs) in the United Kingdom equity market and examine how it varies in their cross-section. For this, we group individual HFTs according to their liquidity taking/making activity... Read More about Price discovery and the cross-section of high-frequency trading.

The Role of Counterparty Risk in CHAPS Following the Collapse of Lehman Brothers (2014)
Journal Article
Benos, E., Stability, F., Garratt, R., & Zimmerman, P. (2014). The Role of Counterparty Risk in CHAPS Following the Collapse of Lehman Brothers. International Journal of Central Banking, 10(4), 143-171

We study the impact of the global financial crisis on CHAPS, the United Kingdom's large-value wholesale payments system, over the period 2006-2009. Payments data show that in the two months following the Lehman Brothers failure, banks did, on average... Read More about The Role of Counterparty Risk in CHAPS Following the Collapse of Lehman Brothers.