Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
960879 | Journal of Financial Markets | 2014 | 32 Pages |
Abstract
⺠We study the linkages between dark and lit trading venues using a proprietary dark data set. ⺠Pricing information relative to the NBBO midpoint allows us to sign the dark trades. ⺠Signed dark trades predict future returns over 15-120 minutes. ⺠Correlated lit trading around signed dark trades leads to higher spreads and price impact. ⺠Findings suggest that dark trades by algos are part of larger, informed orders split across venues.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mahendrarajah Nimalendran, Sugata Ray,