Diving into dark pools
نویسندگان
چکیده
We study 2009 and 2020 dark trading for U.S. stocks. Dark is lower when volume low, volatility high, in periods of markets stress. pools are more active large caps, while internalization common small caps. Traders use to jump the queue caps 2009, avoid crossing spread both years. Internalization higher spreads wide depth high. pool improves but worsens market quality 2020. discuss explanations change.
منابع مشابه
Optimal liquidation in dark pools
We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution strategy uses both venues continuously. The order size in the dark pool can overor underrepresent the portf...
متن کاملWelfare Analysis of Dark Pools∗
We investigate the welfare implications of operating alternative market structures known as electronic crossing networks or “dark pools” alongside traditional “lit” markets. We study equilibria of a market where intrinsic traders and speculators, endowed with heterogeneous fine-grained information, endogenously choose between dark and lit venues. We establish that while the dark pool attracts r...
متن کاملDiving into Danios
In the best articles, generally those dealing with basic Chromosome Puffs research, the combination of depth and accessibility is impressive. One on Hox genes introduces the notion of The Science Times Book of Genetics a conserved body plan among species, illustrating the Edited by Nicholas Wade point with the fauna of Star Trek, and continues with New York: The Lyons Press (1999). 256 pp. an e...
متن کاملDiving Deeper into IM2GPS
Predicting the location an image was taken at is a long standing research problem in computer vision. Given the recent successes with using deep learning techniques, we present a series of approaches towards image geo-location using a variety of deep learning techniques. This report describes our implementation and experimental set-up of training the GoogLeNet and AlexNet architectures on a sam...
متن کاملDo Dark Pools Harm Price Discovery?∗
Dark pools are equity trading systems that do not publicly display orders. Orders in dark pools are matched within the exchange bid-ask spread without a guarantee of execution. Informed traders are more likely to cluster on the heavy side of the market and therefore face a lower execution probability in the dark pool, relative to uninformed traders. Consequently, exchanges are more attractive t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Financial Management
سال: 2022
ISSN: ['1755-053X', '0046-3892']
DOI: https://doi.org/10.1111/fima.12395