Buti, Sabrina; Rindi, Barbara; Werner, Ingrid M. - IGIER (Innocenzo Gasparini Institute for Economic … - 2011
We model a financial market where traders have access both to a fully transparent limit order book (LOB) and to an opaque Dark Pool (DP). When a DP is introduced to a LOB market,orders migrate to the DP from the LOB, but overall trading volume increases. Moreover, inside quoted depth in the LOB...