Understanding the Stakes and the Roots of Fragmentation

Charles-Albert Lehalle and Sophie Laruelle

Chapter 2 in Market Microstructure in Practice, 2018, pp 117-191 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:From Intraday Market Share to Volume Curves: Some Stationarity IssuesInventory-driven investors need fixing auctionsTiming is money: Investors’ optimal trading rateFragmentation and the evolution of intraday volume patternsThe Four Main Liquidity Variables: Traded Volumes, Bid–Ask Spread, Volatility and Quoted QuantitiesDoes More Liquidity Guarantee a Better Market Share? A Little Story About the European Bid–Ask SpreadThe bid–ask spread and volatility move accordinglyBid–ask spread and market share are deeply linkedExchanges need to show volatility-resistanceThe Agenda of High Frequency Traders: How Do They Extend their Universe?Metrics for the balance in liquidity among indexesA history of coverageHigh-frequency traders do not impact all investors equallyThe Link Between Fragmentation and Systemic RiskThe Spanish experimentThe Flash Crash (May 6, 2010) in NY: How far are we from systemic risk?From Systemic Risk To Circuit BreakersBeyond Equity Markets

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: Understanding the Stakes and the Roots of Fragmentation (2013)
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