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

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: Written 2006-01-09
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