This study looks at two important aspects of reference prices in dark pools - the prevalence of reference price latency and primary market choice as the reference price's source. For both aspects we then measure the effect for different classes of market participants to analyse the role of participant speed and sophistication in driving outcomes in today's markets.
|Publisher||Financial Conduct Authority - FCA|
|Number of pages||61|
|Publication status||Published - Sep 2016|
|Name||Occasional Paper. Financial Conduct Authority|
|Publisher||Financial Conduct Authority|