Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility

Bruce Mizrach ()

Departmental Working Papers from Rutgers University, Department of Economics

Abstract: I examine the effects of Nasdaq's introduction of an anonymous trading facility called SIZE. I compare SIZE to competing ECNs in terms of liquidity and market impact. Despite rapid growth, SIZE has not yet attained a significant market share and rarely influences short-run price evolution. I conclude with discussion of the Nasdaq-ECN mergers and speculate about a role for SIZE in trading listed securities.

Keywords: ECN; Super Montage; Total View; market impact (search for similar items in EconPapers)
JEL-codes: G14 G20 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-fmk
Date: 2006-01-09
View list of references View citations in EconPapers

Downloads: (external link)
ftp://snde.rutgers.edu/Rutgers/wp/2006-02.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:rut:rutres:200602

Access Statistics for this paper

More papers in Departmental Working Papers from Rutgers University, Department of Economics
Contact information at EDIRC.
Series data maintained by ().