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 E-Finance Lab.
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
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