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The Impact of Dark Trading and Visible Fragmentation on Market Quality
16 references·0 citing·43 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…Informational linkages between dark and lit trading venues (2013)Informational linkages betwee…Do Dark Pools Harm Price Discovery? (2013)Do Dark Pools Harm Price Disc…Is market fragmentation harming market quality? (2011)Is market fragmentation harmi…Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers (2011)Hidden and Displayed Liquidit…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq (2010)Imperfect Competition in Fina…Market structure, fragmentation, and market quality (2006)Market structure, fragmentati…Tick Size, Bid-Ask Spreads, and Market Structure (2001)Tick Size, Bid-Ask Spreads, a…The distribution of realized stock return volatility (2001)The distribution of realized …A simple model of payment for order flow, internalization, and total trading cost (2001)A simple model of payment for…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 …Competition on the Nasdaq and the Impact of Recent Market Reforms (2000)Competition on the Nasdaq and…Competing Mechanisms in a Common Value Environment (2000)Competing Mechanisms in a Com…Third Market Broker-Dealers: Cost Competitors or Cream Skimmers? (1997)Third Market Broker-Dealers: …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)The Cost of Transacting (1968)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Middlemen versus Market Makers: A Theory of Competitive Exchange (2003)Trading your neighbor’s ETFs: Competition or fragmentation? (2003)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Modeling the bid/ask spread: measuring the inventory-holding premium (2003)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Network externalities, competition, and compatibility (1985)Asset pricing and the bid-ask spread (1986)Liquidity-Based Competition for Order Flow (2003)Island Goes Dark: Transparency, Fragmentation, and Regulation (2005)Dark trading and price discovery (2015)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Low-Latency Trading (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)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)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Market Liquidity and Funding Liquidity (2008)The Impact of Dark Trading and Visible Fragmentation on Market Quality (2014)Price Discovery without Trading: Evidence from Limit Orders (2019)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
  • 2011Is market fragmentation harming market quality?578 cited
  • 2000The Distribution of Stock Return Volatility497 cited
  • 2000Competing Mechanisms in a Common Value Environment353 cited
  • 2013Do Dark Pools Harm Price Discovery?309 cited
  • 2000Crossing Networks and Dealer Markets: Competition and Performance257 cited
  • 1997Third Market Broker-Dealers: Cost Competitors or Cream Skimmers?172 cited
  • 2000Competition on the Nasdaq and the Impact of Recent Market Reforms167 cited
  • 2006Market structure, fragmentation, and market quality160 cited
  • 2011Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers119 cited
  • 2001Tick Size, Bid-Ask Spreads, and Market Structure114 cited
  • 2001A simple model of payment for order flow, internalization, and total trading cost96 cited
  • 2013Informational linkages between dark and lit trading venues94 cited
  • 2010

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Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq
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