Dark pools volumes have increased significantly over the last decade. This has raised concerns on the reliability of reference prices used by these pools, and asymmetric participant outcomes via “latency arbitrage”. Using a novel data set provided by the major UK exchanges and dark pools...

We investigate stale reference pricing and liquidity provision in dark pools using proprietary, participant-level regulatory data. We show a substantial amount of stale trading occurs, imposing large adverse selection costs on passive dark pool participants. Consistent with these costs, HFTs...

We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as "latency arbitrage." The key difference between message data and widely-familiar limit order book data is that message data contain attempts to trade or cancel that fail. This allows the...

We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as "latency arbitrage." The key difference between message data and widely-familiar limit order book data is that message data contain attempts to trade or cancel that fail. This allows the...