Further processing options
available via online resource

Informational Linkages Between Dark and Lit Trading Venues

Saved in:

Bibliographic Details
Other Authors: Ray, Sugata [Other]
Type of Resource: E-Book
Language: English
published:
[S.l.] SSRN [2012]
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: We examine the linkages between dark and lit venues using a proprietary data set. We find that algorithmic trades for less liquid stocks lead to higher spreads and price impact, and correlated trading on the lit venues. Also, signed trades for these stocks predict future returns over the next 15 to 120 minutes. Trades for liquid stocks, trades by the dark venue brokerage desk, and members trading large blocks in negotiated crosses transmit less information to the lit venues. The results suggest that dark venues allow informed agents to trade strategically on both venues and facilitate the price discovery process
Item Description: Nach Informationen von SSRN wurde die urspr├╝ngliche Fassung des Dokuments July 6, 2011 erstellt
Physical Description: 1 Online-Ressource (50 p)
DOI: 10.2139/ssrn.1880070
Access: Open Access