Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility

I examine the effects of Nasdaq's introduction of an anonymous trading facility called SIZE. I compare SIZE to competing ECNs in terms of liquidity and market impact. Despite rapid growth, SIZE has not yet attained a significant market share and rarely influences short-run price evolution. I conclude with discussion of the Nasdaq-ECN mergers and speculate about a role for SIZE in trading listed securities.

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Year of publication:	2006-01-09
Authors:	Mizrach, Bruce
Institutions:	Department of Economics, Rutgers University-New Brunswick
Subject:	ECN \| Super Montage \| Total View \| market impact

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Competition and Regulation in Network Industries 1, 2006, 471-85. 20 pages
Classification:	G14 - Information and Market Efficiency; Event Studies ; G20 - Financial Institutions and Services. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005626682