Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange

Quantitative Finance

Volumn 12, Issue 4, 2012, Pages 517-530

  Carollo, Angelo ^a   Vaglica, Gabriella ^a   Lillo, Fabrizio ^a,b,c   Mantegna, Rosario N ^a  

^a UNIVERSITY OF PALERMO   (Italy)

^b SANTA FE INSTITUTE   (United States)

^c SCUOLA NORMALE SUPERIORE   (Italy)

Author keywords

Brokerage data; Market microstructure; Market segmentation; Order flow; Price impact

Indexed keywords

EID: 84859603850     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2012.664910     Document Type: Article

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