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Quasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives
(2019-04-30)
We show that “quasi-dark” trading venues, i.e., markets with somewhat non-transparent trading mechanisms, are important parts of modern equity market structure alongside lit markets and dark pools. Using the European MiFID ...
Resiliency: Cross-Venue Dynamics with Hawkes Processes
(2020-10-16)
Market fragmentation and technological advances increasing the speed of trading altered the functioning and stability of global equity limit order markets. Taking market resiliency as an indicator of market quality, we ...