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The author is grateful to Shmuel Baruch, Christophe Chamley, Amil Dasgupta, Gabrielle Demange, Thierry Foucault, Alfred Galichon,Peter Homann, Joel Peress, Jean-Charles Rochet, Emmeline Travers, Dimitri Vayanos, an anonymous referee of the ECB Working paper series, participants to the 2012 NBER Microstructure Meeting, the 1st European Retail Investment Conference - Doctoral Consortium,seminars at the London School of Economics and the Paris School of Economics, for helpful comments and suggestions. Part of thisresearch project was undertaken while I was visiting the London School of Economics, whose hospitality is truly appreciated. The
views expressed in this paper are the author’s and do not necessarily reect those of the European Central Bank or the Eurosystem.