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A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition
(2018-10-01)
Exchanges nowadays routinely operate multiple, almost identically structured limit order markets for the same security. We study the effects of such fragmentation on market performance using a dynamic model where agents ...
Statistical Inferences for Price Staleness
(2018-11-06)
Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ...
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 ...