Synopsis
We examine two practitioner concerns regarding modern market structure: 1) whether pre-trade transparent (or lit) liquidity provision is disincentivised by off-exchange trading possibly increasing adverse selection risk, and 2) whether the resilience of liquidity has declined over time. Data from the US, UK and French equity markets during the period 2010-2014 provides some evidence that off-exchange trading increases the probability of adverse selection on lit venues. We do not find any conclusive evidence consistent with a decline in the resilience of liquidity.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
Présentation de l'éditeur
We examine two practitioner concerns regarding modern market structure: 1) whether pre-trade transparent (or lit) liquidity provision is disincentivised by off-exchange trading possibly increasing adverse selection risk, and 2) whether the resilience of liquidity has declined over time. Data from the US, UK and French equity markets during the period 2010-2014 provides some evidence that off-exchange trading increases the probability of adverse selection on lit venues. We do not find any conclusive evidence consistent with a decline in the resilience of liquidity.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Liquidity in Equity Markets: Characteristics, Dynamics, and Implications
Vendeur : Revaluation Books, Exeter, Royaume-Uni
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Paperback. Etat : Brand New. 52 pages. 10.00x8.00x0.13 inches. In Stock. N° de réf. du vendeur zk1942713118
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Expédition depuis Royaume-Uni vers Etats-Unis
Expédition depuis Royaume-Uni vers Etats-Unis
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