Monitoring the Fragmentation at Any Scale

Charles-Albert Lehalle and Sophie Laruelle

Chapter 1 in Market Microstructure in Practice, 2018, pp 33-115 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Fluctuations of Market Shares: A First Look at LiquidityThe market share: A not so obvious liquidity metricPhase 1: First attempts of fragmentationPhase 2: Convergence towards a European offerPhase 3: Apparition of broker crossing networks and dark poolsSOR (Smart Order Routing), A Structural Component of European Price Formation ProcessHow to route orders in a fragmented market?Fragmentation is a consequence of primary markets’ varianceStill Looking for the Optimal Tick SizeWhy does tick size matter?How tick size affects market qualityHow can tick size be used by trading venue to earn market share?How does tick size change the profitability of the various participants in the market?The value of a quoteCan We See in the Dark?Mechanism of dark liquidity poolsIn-depth analysis of dark liquidity

Keywords: Market Microstructure; Finance; Financial Markets; Market Liquidity; Financial Regulation; MiFID; Reg NMS; ESMA (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2018
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Chapter: Monitoring the Fragmentation at Any Scale (2013)
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