This paper examines how the implementation of a new dark order - Midpoint Extended Life Order (M-ELO) on Nasdaq - impactsfinancial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to estimate the effect of dark order tradingactivity on market stability and liquidity provision. The results suggest a predominance of a speed bump effect of M-ELO rather than a darkness effect. We find that the introduction of M-ELO increases market stability by reducing the average number of mini-flash crashes, but its impact on market quality is mixed.Ĭhapter 2: Dark Pools and Price Discovery in Limit Order Markets The defense will be organised in presential mode on Campus Kirchberg, room B22Ĭhapter 1: Dark Trading and Financial Markets Stability Title: Essays in Market Microstructure and Financial Markets Stability PhD Defense - Essays in Market Microstructure and Financial Markets Stability - Vladimir Levin Share this event:
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