Markus Baldauf

Member

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 Versions

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...


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 Versions

2024

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 Versions

2023

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...