Sunshine trading: Flashes of trading intent at the NASDAQ

Johannes Skjeltorp, Elvira Sojli and Wing Wah Tham
Additional contact information
Wing Wah Tham: Erasmus University

No 2011/17, Working Paper from Norges Bank

Abstract: We use the introduction and the subsequent removal of the flash order facility (an actionable indication of interest, IOI) from Nasdaq as a natural experiment to investigate the impact of voluntary disclosure of trading intent on market quality. We find that flash orders significantly improve liquidity in Nasdaq. In addition overall market quality improves substantially when the flash functionality is introduced and deteriorates when it is removed.

Keywords: Actionable Indication of Interest (IOI); Flash orders; High-frequency Trading; Market quality; Market transparency; Sunshine trading (search for similar items in EconPapers)
JEL-codes: G10 G14 G20 (search for similar items in EconPapers)
Pages: 59 pages
Date: 2011-12-15
New Economics Papers: this item is included in nep-fmk and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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https://www.norges-bank.no/en/news-events/news-pub ... pers/2011/WP-201117/

Related works:
Working Paper: Sunshine Trading: Flashes of Trading Intent at the NASDAQ (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2011_17

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