We analyse the trade characteristics and market conditions which determine the market share of an electronic order book at the London Stock Exchange, where an \upstairs" network of dual-capacity rms is also available for trade. We hypothesise and empirically verify that execution and information...

Does it matter to market quality if broker identities are revealed after a trade and only to the two traders involved? We find that implementing full anonymity dramatically improves liquidity and reduces trader execution costs. To explain this, we compare theories based on asymmetric information...

We study the impact on market liquidity of the introduction of a penalty for high order-to-trade ratios (OTRs), implemented by the Italian Stock Exchange to curtail high-frequency quote submission. We find that the fee is associated with a collapse in the quoted depth of the stocks that make up...

We analyse the trade characteristics and market conditions which determine the market share of an electronic order book at the London Stock Exchange, where an upstairs¶ network of dual-capacity firms is also available for trade.  We hypothesise and empirically verify that execution and...

We analyse the trade characteristics and market conditions which determine the market share of a continuous auction trading system at the London Stock Exchange, where a network of broker-dealer firms is also available for trade. We show that execution and information risks govern the choice of...

We analyse the trade characteristics and market conditions which determine the market share of an electronic order book at the London Stock Exchange, where an quot;upstairsquot; network of dual-capacity firms is also available for trade. We hypothesize and empirically verify that execution and...