Electronic order book trading has evolved as best-of-breed for trading small and mid sized orders. Yet, this mechanism does not properly address the needs of large sized orders which tend to execute off order book in over-the-counter markets. Order book trading provides for public price...

Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits like reduced transaction costs, advancements in trading technology, and...

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage opportunities to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying...