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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| 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 |