Does Retail Order Flow Internalization Increase Information Acquisition? Solo-authored (2023).
Latest version (February 2026) New version comming soon.
Abstract: Order flow internalization by wholesalers has increased in the last decade. Retail order internalization decreases liquidity in lit exchanges, but it may also favor liquidity provision to sophisticated investors. Consequently, their incentives to acquire information will be affected, and this has consequences for price informativeness and market efficiency. We measure short and long term information acquisition and find that the proportion of internalized volume is positively associated with information acquisition at both horizons. We test whether wholesalers use internalized retail order flow to provide liquidity to sophisticated investors, showing that the positive effect of internalization on information acquisition is stronger for those stocks preferred by active institutional investors during earnings surprises. Finally, we use the retail trading boom that started in late 2019 as an exogenous shock to internalization to address causality and the analysis supports our previous results.
Presented at: Universidad de Salamanca (2024), Summer School in Market Microstructure (2024, Stockholm), 7th FutFinInfo Conference at INSEAD (Poster, 2025), 32nd Finance Forum and its PhD Mentoring Day (2025), CUNEF (2026), Universitat de les Illes Balears (2026).
The Value of Information in Wholesale Electricity Markets Solo-authored (2025).
Draft comming soon
The share of electricity generated from renewable sources has become predominant in many electricity markets. Renewable electricity generation units are typically owned by fringe price-taker producers who bid their maximum available capacity, which is stochastic. Consequently, large price-maker producers must forecast their competitors’ available capacities to determine their optimal bidding strategy, and for this they rely on private forecasts. Using bidding data from the Spanish day-ahead wholesale electricity auctions, we quantify the value that price-maker producers obtain from having private knowledge of competitors' capacities. To do so, we derive their counterfactual optimal bid functions in the multi-unit auction in the absence of private information. Preliminary estimates indicate that, without private information, wholesale electricity prices would be, on average, 32% lower. This suggests that price-maker companies use private information to exert market power, and this has implications for electricity customer welfare and the optimal market design.
Presented at: Universidad de Salamanca (2026).
ETFs Mispricing and Wholesalers as Authorized Participants Solo-authored (2025).
Latest version (February 2026)
Abstract: Exchange-Traded Funds (ETFs) pricing relies on keeping their share prices aligned with their net asset value. This is achieved through arbitrage with the creation and redemption of ETF units by authorized participants in the primary market. In this paper, we investigate whether wholesaler internalizers' activity in the ETF primary market as authorized participants affects fund mispricing. Wholesalers face lower trading costs since they can access retail order flow that can be internalized, which constitutes a competitive advantage with respect to other authorized participants. We find that wholesalers' primary market arbitrage activity decreases mispricing, helping ETF share prices to remain aligned with their net asset value, especially when there is negative mispricing. We also find that the percentage of ETF units created and redeemed and the changes in ETF holdings are associated with the internalization of ETFs and their constituent stocks included in their creation and redemption baskets.
