Dark pools are equity trading systems that do not publicly display orders. Dark pools offer
potential price improvements but do not guarantee execution. Informed traders tend to trade …

High‐frequency trading has led to widespread efforts to reduce information propagation
delays between physically distant exchanges. Using relativistically correct millisecond …

Abstract High Frequency Trading (HFT) improves investors' ability to seize trading
opportunities, which raises gains from trade. It also enables fast traders to process …

This paper extends the Kyle (1985) framework to allow both endogenous price and
endogenous execution probability. I use the model to examine the market outcome when the …

Dive into algo trading with step-by-step tutorials and expert insight Machine Trading is a
practical guide to building your algorithmic trading business. Written by a recognized trader …

We investigate stale reference pricing and liquidity provision in dark pools using proprietary,
participant-level regulatory data. We show a substantial amount of stale trading occurs …

Institutional trading arrangements often involve the portfolio manager delegating the task of
trade execution to a separate division within the firm. We model the agency conflict that …

Fear of adverse selection has been cited by buy-side traders as one of the reasons for the
decline in block market share, and concerns of adverse selection from executing in dark …

This empirical study based on 517,000 observations from 17 dark pools used by ITG trading
systems over a one-month period shows the value in predicting execution quality by fill type …

Does the quest for best execution on behalf of large institutional orders boil down to
optimizing the short-term momentum during their trading? We clip the trades originating from …