Do Dark Pools Harm Price Discovery?∗
نویسنده
چکیده
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 to informed traders, whereas dark pools are more attractive to uninformed traders. Under natural conditions, adding a dark pool alongside an exchange concentrates price-relevant information into the exchange and improves price discovery.
منابع مشابه
Online Appendix of “Do Dark Pools Harm Price Discovery?”
In this section, I discuss institutional details of dark pools and dark liquidity in addition to that in Zhu (2013). Dark pools differ from each other in many ways. We can categorize them, roughly, into the three groups shown in the top panel of Table 1. As described in Zhu (2013), the first group match customer orders by acting as agents (as opposed to trading on their own accounts). Transacti...
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