Search results for "Dark liquidity"

showing 3 items of 3 documents

Insider Trading and Market Behaviour Around Takeover Announcements in the Spanish Market

2002

As microstructure models assume informational asymmetries among investors, the possibility of insider trading is a sound reason for liquidity suppliers to increase the bid-ask spread. In this way, the tested effect that takeover announcements have on target firm returns becomes a strong motive for trading with insider information. In this paper we firstly investigate whether liquidity suppliers value the possibility of trading with informed agents in this sort of event. We analyse the adverse selection cost from bid-ask spread behaviour around takeover announcements. We find that liquidity suppliers enlarge adverse selection cost suggesting that they value the possibility of facing to insid…

Alternative trading systemBid–ask spreadFinancial economicsDark liquidityLiquidity crisisInsider tradingBusinessAlgorithmic tradingcomputer.software_genrecomputerMarket liquidityInsiderSSRN Electronic Journal
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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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Quantifying preferential trading in the e-MID interbank market

2015

Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from the e-MID market which is the only electronic interbank market in the Euro Area and US, over a period of eleven years (1999-2009). We adapt a method developed to detect statistically validated links in a network, in order to reveal preferential trading in a directed network. Preferential trading between banks is detecte…

Preferential linkStatistically validated networksFinancial economicsMonetary economicscomputer.software_genreLiquidity riskHJSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)Market liquidityInterbank marketOrder (exchange)Financial crisisEconomicsDark liquidityInterbank rateInterbank lending marketHigh-frequency tradingAlgorithmic tradingGeneral Economics Econometrics and FinancecomputerFinanceQuantitative Finance
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