Shades of darkness: A pecking order of trading venues

• 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
• Institution: Singapore Management University

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...