Asymmetries in dark pool reference prices

Matteo Aquilina, Sean Foley, Peter O'Neill, Thomas Ruf

Research output: Other contribution

Abstract

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.
Original languageEnglish
PublisherFinancial Conduct Authority - FCA
Number of pages61
Publication statusPublished - Sep 2016
Externally publishedYes

Publication series

NameOccasional Paper. Financial Conduct Authority
PublisherFinancial Conduct Authority
No.21

Bibliographical note

Occasional Paper - 21

Fingerprint Dive into the research topics of 'Asymmetries in dark pool reference prices'. Together they form a unique fingerprint.

  • Cite this

    Aquilina, M., Foley, S., O'Neill, P., & Ruf, T. (2016, Sep). Asymmetries in dark pool reference prices. Financial Conduct Authority - FCA.