Dr. Marco Lutat
Dr. Marco Lutat studied Economics at the University of Bonn. In his diploma thesis he conducted an empirical analysis on the liquidity measure XLM which has been developed and applied by Deutsche Boerse. In his dissertation thesis at Goethe-University, he studied the interaction of order flow fragmentation, transaction costs and liquidity.
For his dissertation thesis, he was awarded the Hochschulpreis 2011 of the Deutsches Aktieninstitut. Beyond his efforts in research, Marco regularly co-operated with practitioners from the financial industry. Moreover, he was a Research Associate of the Chair of e-Finance.
As of July 2012, Marco Lutat worked for Deutsche Börse Group in the field of Market Policy and European Public Affairs as well as in the Regulatory Strategy Department.
Dr. Marco Lutat passed away in May 2014. We will remember Marco as a very valuable colleague and good friend.
Research Interest:
- Transaction cost analysis in securities trading (TCA)
- Fee schedules for electronic markets
- Market impact modeling
Publications:
| 2013 |
| Gomber, P.; Haferkorn, M.; Lutat, M.; Zimmermann, K. The Effect of Single-Stock Circuit Breakers on the Quality of Fragmented Markets In: Lecture Notes in Business Information Processing (LNBIP), 135, Eds.: F. A. Rabhi & P. Gomber, pp. 71-87; Springer, Berlin |
| 2012 |
| Mazur, Jedrzej; Lutat, Marco Does stock exchange M&A pay off for shareholders? In: Working Paper ; |
| Gomber, Peter; Haferkorn, Martin; Lutat, Marco; Zimmermann, Kai Single Stock Circuit Breakers - Issues in Fragmented Markets In: Frontiers of Finance 2012 ; Warwick, U.K. |
| Haferkorn, Martin; Lutat, Marco; Zimmermann, Kai The Effect of Single-Stock Circuit Breakers on the Quality of Fragmented Markets In: FinanceCom 2012 ; Barcelona, Spain |
| Gomber, Peter; Lutat, Marco; Haferkorn, Martin; Zimmermann, Kai Circuit Breakers in Fragmented Markets – An Assessment In: 9th International Conference on Business and Finance ; Hyderabad, India [Find it] |
| Gomber, Peter; Lutat, Marco; Haferkorn, Martin; Zimmermann, Kai Circuit Breakers - Evidence on Trading Migration in Fragmented Markets In: BIT - Banking and Information Technology ; |
| 2011 |
| Gomber, Peter; Lutat, Marco; Weber, Moritz Christian The impact of MiFID on market quality In: 15th International Business Research Conference ; Sydney, Australia |
| Arndt, Björn; Gomber, Peter; Lutat, Marco; Uhle, Tim High-Frequency Trading - A European Perspective In: HoF Quarterly 02/2011, pp. 9-10 ; Frankfurt |
| Gomber, Peter; Arndt, Björn; Lutat, Marco; Uhle, Tim High Frequency Trading In: Study Report ; [Find it] |
| Chlistalla, Michael; Lutat, Marco Competition in Securities Markets: The Impact on Liquidity In: Financial Markets and Portfolio Management 25(2), pp. 149-172 ; [Find it] |
| Gomber, Peter; Gsell, Markus; Lutat, Marco Competition among electronic markets and market quality In: 14th Conference of the Swiss Society for Financial Market Research (SGF) ; Zurich, Switzerland [Find it] |
| Gomber, Peter; Gsell, Markus; Lutat, Marco The quality of European equity markets after MiFID In: Lazzari, V. (Ed.), Trends in the European Securities Industry; EGEA, Milan, pp. 179-200 |
| Gomber, Peter; Lutat, Marco; Pierron, Axel; Weber, Moritz Christian Shedding Light on the Dark – OTC Equities Trading in Europe In: Journal of Trading, Vol. 6, Issue 1, pp. 74-86 ; [Find it] |
| Gomber, Peter; Gsell, Markus; Lutat, Marco Competition among electronic markets and market quality In: 2011 Eastern Finance Association (EFA) Annual Meetings; Savannah, GA, USA |
| 2010 |
| Ende , Bartholomäus; Gomber, Peter; Lutat, Marco; Weber, Moritz Christian A methodology to assess the benefits of smart order routing In: Proceedings of the International Federation for Information Processing (IFIP) I3E 2010 conference; Buenos Aires, Argentina |
| Ende , Bartholomäus; Lutat, Marco Trade-throughs in European cross-traded equities after transaction costs-empirical Evidence for the EURO STOXX 50 In: 2nd International Conference: The Industrial Organisation of Securities Markets: Competition, Liquidity and Network Externalities; Frankfurt |
| Lutat, Marco The Effect of Maker-Taker Pricing on Market Liquidity in Electronic Trading Systems - Empirical Evidence from European Equity Trading In: 8th INFINITI Conference on International Finance; Dublin, Ireland |
| Lutat, Marco The Effect of Maker-Taker Pricing on Market Liquidity in Electronic Trading Systems - Empirical Evidence from European Equity Trading In: Midwest Finance Association 59th Annual Meeting; Las Vegas, NV, USA |
| 2009 |
| Chlistalla, Michael; Lutat, Marco The Impact of new Execution Venues on European Equity Markets’ Liquidity – The Case of Chi-X In: Value Creation in E-Business Management, 15th Americas Conference on Information Systems AMCIS 2009; SIGeBIZ track, Springer LNBIP, pp. 218-230 |
| Ende , Bartholomäus; Gomber, Peter; Lutat, Marco Smart Order Routing Technology in the New European Equity Trading Landscape In: Software Services for e-Business and e-Society, 9th IFIP WG 6.1 Conference, I3E 2009; Proceedings, pp. 197-209, Springer, Boston |
| Lutat, Marco; Chlistalla, Michael Liquidity in times of competition - Evidence from the European stock market In: Proceedings of the 13th Pacific Asia Conference on Information Systems (PACIS); Hyderabad, India |
| Chlistalla, Michael; Lutat, Marco The Impact of new Execution Venues on European Equity Markets’ Liquidity – The Case of Chi-X In: Proceedings of the Fifteenth Americas Conference on Information Systems (AMCIS); San Francisco, California, USA [Find it] |
| Ende , Bartholomäus; Gomber, Peter; Lutat, Marco The Economic Value of Smart Order Routing in European Equity Trading In: Proceedings of the 5th International Finance Conference; Hammamet, Tunisia |
| 2008 |
| Gomber, Peter; Lutat, Marco; Wranik, Adrian Flexible Volume Weighted Average Price Executions In: EFL Quarterly 02/2008, pp. 6-8 |
| Gomber, Peter; Lutat, Marco; Wranik, Adrian Flexible VWAP Executions in Electronic Trading In: Proceedings of the Fourteenth Americas Conference on Information Systems (AMCIS); Toronto, Canada [Find it] |
| Gomber, Peter; Lutat, Marco; Wranik, Adrian Flexible VWAP Executions in Electronic Trading In: Lecture Notes in Business Information Processing (LNBIP), 4, Ed: Veit, D.J., pp. 1-14; Springer, Berlin [protected Download] Password protected due to former publication, please contact the author |
| Gomber, Peter; Lutat, Marco; Schubert, Steffen Capital Markets in the Gulf: International Access, Electronic Trading and Regulation In: Seese, Detlef; Weinhardt, Christof; Schlottmann, Frank (eds.): Handbook on Information Technology in Finance, pp. 141-170; Springer, Berlin [protected Download] Password protected due to future submission/publication, please contact the author |
| 2007 |
| Gomber, Peter; Lutat, Marco; Wranik, Adrian Flexible VWAP Executions in Electronic Trading In: FinanceCom 2007; Montreal, Canada [protected Download] Password protected due to future submission/publication, please contact the author |
| Gomber, Peter; Lutat, Marco Applying Pricing Engineering for Electronic Financial Markets In: Electronic Markets, Vol. 17, Issue 4, pp. 298-308 [protected Download] Password protected due to former publication, please contact the author |
| Gomber, Peter; Lutat, Marco Applying Pricing Engineering for Exchanges in Emerging Economies In: Proceedings of the 5th International Business Research Conference; Dubai 2007 [protected Download] Password protected due to future submission/publication, please contact the author |
| 2006 |
| Gsell, Markus; Lutat, Marco; Steenbergen, Jan NYSE Hybrid Market Model – Implikationen für den deutschen Finanzmarkt Working Paper [protected Download] Password protected due to future submission/publication, please contact the author |
| Gomber, Peter; Lutat, Marco Pricing Engineering for Electronic Financial Markets Working Paper [protected Download] Password protected due to future submission/publication, please contact the author |