Dark pool trading strategies, market quality and welfare
| Autor: | Sabrina Buti, Barbara Rindi, Ingrid M. Werner |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
050208 finance LIMIT ORDER BOOK Horizon (archaeology) Strategy and Management media_common.quotation_subject 05 social sciences Monetary economics LIMIT ORDER BOOK DARK POOLS TRADING STRATEGIES TRADING STRATEGIES DARK POOLS Accounting Market quality 0502 economics and business Tick size Economics Dark liquidity Trading strategy 050207 economics Welfare Finance media_common |
| Popis: | We show that when a continuous dark pool is added to a limit order book that opens illiquid, book and consolidated fill rates and volume increase, but spread widens, depth declines, and welfare deteriorates. The adverse effects on market quality and welfare are mitigated when book-liquidity builds but so are the positive effects on trading activity. All effects are stronger when traders’ valuations are less dispersed, access to the dark pool is greater, horizon is longer, and relative tick size larger. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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