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Effects of lit and dark market fragmentation on liquidity

Gresse, Carole - In: Journal of financial markets 35 (2017), pp. 1-20

Persistent link: https://www.econbiz.de/10011820138

Liquidity and risk sharing benefits from opening an ETF market with liquidity providers : evidence from the CAC 40 index

De Winne, Rudy; Gresse, Carole; Platten, Isabelle - In: International review of financial analysis 34 (2014), pp. 31-43

Persistent link: https://www.econbiz.de/10010520400

Direct and indirect effects of index ETFs on spot-futures pricing and liquidity : evidence from the CAC 40 index

Deville, Laurent; Gresse, Carole; Séverac, Béatrice de - In: European financial management : the journal of the … 20 (2014) 2, pp. 352-373

Persistent link: https://www.econbiz.de/10010350999

Cross-Venue Liquidity Provision : High Frequency Trading and Ghost Liquidity

Degryse, Hans - 2020

We measure the extent to which consolidated liquidity in modern fragmented equity markets overstates true liquidity due to a phenomenon that we call Ghost Liquidity (GL). GL exists when traders place duplicate limit orders on competing venues, intending for only one of the orders to execute, and...

Persistent link: https://www.econbiz.de/10012849815