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The Impact of Dark Trading and Visible Fragmentation on Market Quality
16 references·8 citing·45 second hopsampled
The Impact of Dark Trading and Visible Fragmentation on Market Quality (2011)The Impact of Dark Trading and Visible Fr…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Do Dark Pools Harm Price Discovery? (2013)Do Dark Pools Harm Price Disc…Low-Latency Trading (2011)Low-Latency TradingIs market fragmentation harming market quality? (2011)Is market fragmentation harmi…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Technology and liquidity provision: The blurring of traditional definitions (2008)Technology and liquidity prov…Competition for Order Flow and Smart Order Routing Systems (2006)Competition for Order Flow an…Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE (2005)Lifting the Veil: An Analysis…Competition among Trading Venues: Information and Trading on Electronic Communications Networks (2003)Competition among Trading Ven…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Stock Return Volatility (2000)The Distribution of Stock Ret…Crossing Networks and Dealer Markets: Competition and Performance (2000)Crossing Networks and Dealer …Competing Mechanisms in a Common Value Environment (2000)Competing Mechanisms in a Com…Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks (1999)Effects of Market Reform on t…Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow (1996)Cream-Skimming or Profit-Shar…Endogenous Market Thinness and Stock Price Volatility (1989)Endogenous Market Thinness an…Dark Pool Trading and Information Acquisition (2021)Dark Pool Trading and Informa…Dark Trading Volume and Market Quality: A Natural Experiment (2018)Dark Trading Volume and Marke…Effects of lit and dark market fragmentation on liquidity (2017)Effects of lit and dark marke…Why do traders choose dark markets? (2016)Why do traders choose dark ma…The impact of fragmentation, exchange fees and liquidity provision on market quality (2016)The impact of fragmentation, …The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market (2015)The Effect of Fragmentation i…Trading Rules, Competition for Order Flow and Market Fragmentation (2013)Trading Rules, Competition fo…Dark Pool Trading Strategies, Market Quality and Welfare (2010)Dark Pool Trading Strategies,…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)High Frequency Trading and the New-Market Makers (2012)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Installed base and compatibility : innovation, product preannouncements and predation (1986)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Bank Bias in Europe: Effects on Systemic Risk and Growth (2015)The Economics of High-Frequency Trading: Taking Stock (2016)Price Discovery without Trading: Evidence from Limit Orders (2019)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Optimal Auction Design (1981)The Economics of Multidimensional Screening (2010)Strategic Supply Function Competition With Private Information (2011)Overcoming Adverse Selection: How Public Intervention Can Restore Market Functioning (2012)Price, trade size, and information in securities markets (1987)Inferring investor behavior: Evidence from TORQ data (2000)Price Discovery and Trading After Hours (2003)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)On the Impossibility of Informationally Efficient Markets (1980)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Should securities markets be transparent? (2005)Limit order books (2013)Price pressures (2014)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The economics of networks (1996)Market microstructure: A survey (2000)Equilibrium fast trading (2015)High frequency market microstructure (2015)The Economic Value of Volatility Timing Using 'Realized' Volatility (2001)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)
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References

  • 2001The distribution of realized stock return volatility2,264 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2011Low-Latency Trading880 cited
  • 2011Is market fragmentation harming market quality?578 cited
  • 1996Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow537 cited
  • 2000The Distribution of Stock Return Volatility497 cited
  • 2005Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE362 cited
  • 2000Competing Mechanisms in a Common Value Environment353 cited
  • 2006Competition for Order Flow and Smart Order Routing Systems332 cited
  • 1999Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks327 cited
  • 2013Do Dark Pools Harm Price Discovery?309 cited
  • 1989Endogenous Market Thinness and Stock Price Volatility293 cited
  • 2003Competition among Trading Venues: Information and Trading on Electronic Communications Networks280 cited
  • 2008Technology and liquidity provision: The blurring of traditional definitions279 cited
  • 2000

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Crossing Networks and Dealer Markets: Competition and Performance
257 cited

Cited by

  • 2017Effects of lit and dark market fragmentation on liquidity103 cited
  • 2021Dark Pool Trading and Information Acquisition67 cited
  • 2016The impact of fragmentation, exchange fees and liquidity provision on market quality47 cited
  • 2010Dark Pool Trading Strategies, Market Quality and Welfare45 cited
  • 2013Trading Rules, Competition for Order Flow and Market Fragmentation45 cited
  • 2015The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market36 cited
  • 2016Why do traders choose dark markets?29 cited
  • 2018Dark Trading Volume and Market Quality: A Natural Experiment28 cited