This paper describes regularities in the intraday spreads and prices quoted by dealers on the London Stock Exchange. It develops a measure of spread-related transaction costs, one that recognizes dealers' willingness to price trades within their quoted spreads. This measure of transaction costs...

London equity dealers routinely use two trading systems to trade with one another. In one, they trade directly by phone, using the best bid and ask quotes as a basis for negotiation. In the other, they submit and consume anonymous limit-orders in electronic limit-order books. In this paper, we...

This paper describes regularities in the intraday spreads and prices quoted by dealers on the London Stock Exchange. It develops a measure of spread-related transaction costs, one that recognizes dealers' willingness to price trades within their quoted spreads. This measure of transaction costs...

We use unique data from the London Stock Exchange to test whether interdealer trade facilitates inventory risk sharing among dealers. We develop a methodology that focuses on periods of "extreme" inventories-inventory cycles. We further distinguish between inventory cycles that are unanticipated...