During its trial phase (Phase I), the EU Greenhouse Gas Emission Trading Scheme (EU-ETS) collapsed because of an over-allocation of emission allowances. We evaluate the progress of this market from the trial phase to the next commitment period (Phase II) from a microstructure angle. We show that...

This study investigates the determinants of liquidity and execution probability in an exchange operated dark pool. We analyse a unique set of data collated from the Australian Securities Exchange (ASX) that allows the identification of trades and orders in its Centre Point dark pool. This study...

Purpose The purpose of this paper is to study the effect of X‐Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the market quality. Design/methodology/approach The authors test the effect of X‐Stream on market quality variables, such as liquidity...

This paper explores the quadratic variation (QV) as an alternative measure to the bid-ask spread in limit order markets when observed at high resolution. Although the spread cannot be precisely estimated because of microstructure noise, the QV of the price series, consisting of the transaction...

We propose a parsimonious agent-based model of a financial market at the intra-day time scale that is able to jointly reproduce many of the empirically validated stylised facts. These include properties related to returns (leptokurtosis, absence of linear autocorrelation, volatility clustering),...