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.

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ژورنال

عنوان ژورنال: Financial Management

سال: 2022

ISSN: ['1755-053X', '0046-3892']

DOI: https://doi.org/10.1111/fima.12395