Search results for "Brokerage data"

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Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange

2011

We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book transactions has a significantly fatter tail than the one of on-book transactions, (ii) groups of members and non-members can be classified in categories according to their trading profile (iii) there is a strong anticorrelation between the daily inventory variation of a market member due to the on-book market transactions and inventory variation due to the off-book market transac…

Market microstructureFinancial economicsBrokerage datacomputer.software_genreOrder flowFOS: Economics and businessMarket segmentationMarket segmentationSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Order (exchange)Stock exchangeEconometricsEconomicsAlgorithmic tradingHigh-frequency tradingAlternative trading systemQuantitative Finance - Trading and Market MicrostructurePrice impactFinancial marketFlash tradingMarket microstructureSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)Trading and Market Microstructure (q-fin.TR)Market depthOpen outcryDark liquidityGeneral Economics Econometrics and FinancecomputerFinance

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PEPhysical Sciences and Engineering
- PE2Fundamental Constituents of Matter
  - PE2_1Theory of fundamental interactions
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  - PE2_6Nuclear, hadron and heavy ion physics
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  - PE2_5Classical and quantum physics of gravitational interactions
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  - PE2_10Atomic, molecular physics
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  - PE2_18Equilibrium and non-equilibrium statistical mechanics: steady states and dynamics
  - PE2_14Lasers, ultra-short lasers and laser physics
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  - PE2_16Non-linear physics
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- PE1Mathematics
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LSLife Sciences
- LS1Molecules of Life: Biological Mechanisms, Structures and Functions
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  - LS2_1Genetics
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  - LS2_9Metabolomics
  - LS2_10Glycomics/Lipidomics
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  - LS2_12Biostatistics
  - LS2_14Genetic diseases
  - LS2_16Innovative methods and modelling in integrative biology
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  - LS4_1Organ and tissue physiology and pathophysiology
  - LS4_4Endocrinology
  - LS4_3Physiology of ageing
  - LS4_2Comparative physiology
  - LS4_5Non-hormonal mechanisms of inter-organ and tissue communication
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  - LS3_7Mechanobiology of cells, tissues and organs
  - LS3_8Embryogenesis, pattern formation, morphogenesis
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  - LS3_17Theoretical modelling in cellular, developmental and regenerative biology
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SHSocial Sciences and Humanities
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