| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21286 |
| 来源ID | Working Paper 21286 |
| Dark Trading at the Midpoint: Pricing Rules, Order Flow, and High Frequency Liquidity Provision | |
| Robert P. Bartlett, III; Justin McCrary | |
| 发表日期 | 2015-06-22 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Using over eight trillion observations of market data, we use a regression discontinuity design to analyze the effect of increasing the minimum price variation (MPV) for quoting equity securities in light of recent proposals to increase the MPV from $0.01 to $0.05. We show that a larger MPV encourages investors to trade in dark venues at the midpoint of the national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers, especially those using high frequency trading (HFT). Trading in dark venues due to a wider MPV reduces volatility and increases trading volume. |
| 主题 | Financial Economics ; Financial Markets ; Financial Institutions ; Other ; Law and Economics |
| URL | https://www.nber.org/papers/w21286 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578960 |
| 推荐引用方式 GB/T 7714 | Robert P. Bartlett, III,Justin McCrary. Dark Trading at the Midpoint: Pricing Rules, Order Flow, and High Frequency Liquidity Provision. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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