We analyze the ability of various market mechanisms to provide liquidity for large equity trades. Using data on 21,077 block transactions in Dow Jones stocks, we find that the "down-stairs" NYSE floor market is a significant source of liquidity. Although negotiation in the informal "upstairs"...

This article develops and tests a structural model of intraday price formation that embodies public information shocks and microstructure effects. We use the model to analyze intraday patterns in bid-ask spreads, price volatility, transaction costs, and return and quote autocorrelations, and to...

This paper analyzes a market where investors observe the intermediate stages of price formation and can revise their orders as prices are determined. A trading mechanism that exhibits this property is said to be transparent. The issue of market transparency arises in many current policy issues...

This paper develops a structural model of intraday price formation that embodies both public information shocks and microstructure effects. Due to its structural nature, the model’s underlying parameters provide summary measures to asset trading costs, the sources of short-run price...

We develop and test a model of intraday price formation based on an explicit description of a representative market maker whose beliefs evolve according to Bayes’ rule. We derive an estimating equation where the weight the market maker places on the order flow as an information signal can be...