Dark pools: the structure and future of off-exchange trading and liquidity
"Dark Pools is a practical text dealing with the increasingly important topic of dark pools, or non-displayed, off-exchange trading and liquidity. It discusses the development of the equity trading marketplace over the past two decades and how dark pools may evolve in a post-financial crisis wo...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Palgrave Macmillan
2010
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Palgrave Macmillan finance and capital markets series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | "Dark Pools is a practical text dealing with the increasingly important topic of dark pools, or non-displayed, off-exchange trading and liquidity. It discusses the development of the equity trading marketplace over the past two decades and how dark pools may evolve in a post-financial crisis world"--Provided by publisher. |
| Beschreibung: | "Dark Pools is a practical text dealing with the increasingly important topic of dark pools, or non-displayed, off-exchange trading and liquidity. It discusses the development of the equity trading marketplace over the past two decades and how dark pools may evolve in a post-financial crisis world"--Provided by publisher. Includes bibliographical references and index |
| Beschreibung: | X, 227 S. graph. Darst. |
| ISBN: | 9780230238107 |
Internformat
MARC
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| 500 | |a "Dark Pools is a practical text dealing with the increasingly important topic of dark pools, or non-displayed, off-exchange trading and liquidity. It discusses the development of the equity trading marketplace over the past two decades and how dark pools may evolve in a post-financial crisis world"--Provided by publisher. | ||
| 500 | |a Includes bibliographical references and index | ||
| 520 | 3 | |a "Dark Pools is a practical text dealing with the increasingly important topic of dark pools, or non-displayed, off-exchange trading and liquidity. It discusses the development of the equity trading marketplace over the past two decades and how dark pools may evolve in a post-financial crisis world"--Provided by publisher. | |
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Datensatz im Suchindex
| _version_ | 1804142815576326144 |
|---|---|
| adam_text | Titel: Dark pools
Autor: Banks, Erik
Jahr: 2010
Contents
mm--? * !wm
List of Illustrations vii
Acknowledgments ix
About the Author x
PARTI MARKET STRUCTURE
1 Introduction to Dark Pools 3
2 Market Liquidity and Structure 30
3 Dark Pool Structure 57
PART II MICRO ISSUES
4 Topics in Pricing and Execution 93
5 Trading in Dark Pools 115
6 Aspects of Technology and Architecture 136
PART III ENVIRONMENT OF THE FUTURE
7 Regulation, Control, and Transparency 163
8 The Future of Dark Pools 183
##
f vi I CONTENTS
Appendix 1 Listing of Dark Pool Sites 199
Appendix 2 Listing ofMiFID Regulated Markets, Systematic
Internalizers, and Multilateral Trading Facilities 201
Notes 206
Selected Bibliography 213
Glossary 215
Index 225
ustrations
FIGURES
1.1 Orders coming into various price points 15
1.2 Sources of dark liquidity 19
2.1 Limit bids and offers 37
2.2 Reserve order execution in Stock XYZ 42
2.3 Hidden order execution in Stock XYZ 43
2.4 Order types 45
2.5 Market structures 52
2.6 Liquidity spectrum 56
3.1 Types of alternative trading systems/multilateral
trading facilities 65
3.2 Key types of crossing networks 74
3.3 Broker/dealer desk model 76
3.4 Examples of dark pool venues and mechanisms 85
4.1(a) Limit order book: Stock XYZ 97
4.1(b) Limit order book: Stock ABC 98
4.2 Supply, demand, and market clearing price 100
4.3 Crossing at best bid offer 104
4.4 Order entry into a crossing network 107
5.1 Implementation shortfall routine 130
6.1 Trade lifecycle 143
6.2 Routing process 148
6.3 The matching flow 153
7.1 Fidessa dark/light trade activity screens 176
?vii|
«viii ILLUSTRATIONS
TABLES
1.1 Sample U.S. exchange matched market share
performance, August 2009 27
1.2 Sample U.S. off-exchange matched market
share performance, August 2009 28
1.3 Sample European exchange matched market
share performance, August 2009 28
1.4 Sample European off-exchange matched market
share performance, August 2009 28
2.1 Major classes of orders and primary motivations 45
2.2 Stock EFG order book example 1 46
2.3 Stock EFG order book example 2 46
2.4 Stock EFG order book example 1, without illustrating
the dark trade 47
3.1 Major global exchanges with hidden/reserve orders 60
4.1 Stock ABC order book, pre-call 100
4.2 Stock ABC order matching 101
4.3 Stock ABC order book, post-call 101
4.4 Stock ABC, continuous-order market 102
4.5 Top 10 fragmented stocks on the FTSE 100,
August 2009 110
6.1 Share blocks on various dark pools 150
6.2 Order fill against various dark pools 150
6.3(a) FOK buy limit order at $50.00, 1000 shares 158
6.3(b) Dark sell peg order at the midpoint of the NBBO,
2000 shares and minimum quantity 1000 shares,
valid market open tomorrow (T + 1) 159
|
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| id | DE-604.BV036423949 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:37:46Z |
| institution | BVB |
| isbn | 9780230238107 |
| language | English |
| lccn | 2009048415 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020220748 |
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| physical | X, 227 S. graph. Darst. |
| publishDate | 2010 |
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| series2 | Palgrave Macmillan finance and capital markets series |
| spelling | Banks, Erik 1965- Verfasser (DE-588)171578902 aut Dark pools the structure and future of off-exchange trading and liquidity Erik Banks 1. publ. New York, NY Palgrave Macmillan 2010 X, 227 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Palgrave Macmillan finance and capital markets series "Dark Pools is a practical text dealing with the increasingly important topic of dark pools, or non-displayed, off-exchange trading and liquidity. It discusses the development of the equity trading marketplace over the past two decades and how dark pools may evolve in a post-financial crisis world"--Provided by publisher. Includes bibliographical references and index Capital market Liquidity (Economics) Risk HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020220748&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Banks, Erik 1965- Dark pools the structure and future of off-exchange trading and liquidity Capital market Liquidity (Economics) Risk |
| title | Dark pools the structure and future of off-exchange trading and liquidity |
| title_auth | Dark pools the structure and future of off-exchange trading and liquidity |
| title_exact_search | Dark pools the structure and future of off-exchange trading and liquidity |
| title_full | Dark pools the structure and future of off-exchange trading and liquidity Erik Banks |
| title_fullStr | Dark pools the structure and future of off-exchange trading and liquidity Erik Banks |
| title_full_unstemmed | Dark pools the structure and future of off-exchange trading and liquidity Erik Banks |
| title_short | Dark pools |
| title_sort | dark pools the structure and future of off exchange trading and liquidity |
| title_sub | the structure and future of off-exchange trading and liquidity |
| topic | Capital market Liquidity (Economics) Risk |
| topic_facet | Capital market Liquidity (Economics) Risk |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020220748&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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