Shades of darkness: A pecking order of trading venues

Shades of darkness: A pecking order of trading venues

We characterize the dynamic fragmentation of U.S. equity markets using a unique data set that disaggregates dark transactions by venue types. The "pecking order" hypothesis of trading venues states that investors "sort" various venue types, putting low-cost-low-immediacy venues o...

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Bibliographic Details
Main Authors: MENKVELD, Albert J., YUESHEN, Bart Zhou, ZHU, Haoxiang
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Dark pool
Pecking order
Fragmentation
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/7283
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8282/viewcontent/Shades_of_darkness_av.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/7283
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8282/viewcontent/Shades_of_darkness_av.pdf

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