Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods. The authors...

This study investigates the impact of dark equity trading regulatory restrictions on the options market liquidity in Canada. In late 2012, the Canadian market regulator introduced a new dark trading regulation, referred to as the “Minimum Price Improvement” (“MPI”). It requires dark...