Does the bid-ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment

DOI10.1016/j.jedc.2022.104436zbMath1492.91354OpenAlexW4281859547MaRDI QIDQ2152341

Huu Nhan Duong, Petko S. Kalev, Xiao Jason Tian

Publication date: 8 July 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104436

zbMATH Keywords

bid-ask spreaddark tradingexchange operated dark poolJapanese markettick size change

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Short selling, divergence of opinion and volatility in the corporate bond market

Uses Software

• OptiRisk

Cites Work

• Optimal order execution using hidden orders
• Trading under market impact: crossing networks interacting with dealer markets
• Optimal market-making strategies under synchronised order arrivals with deep neural networks
• The effects of trade size and market depth on immediate price impact in a limit order book market

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