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Monitoring the Fragmentation at Any Scale

In: Market Microstructure in Practice

Author

Listed:
  • Charles-Albert Lehalle
  • Sophie Laruelle

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

Suggested Citation

  • Charles-Albert Lehalle & Sophie Laruelle, 2018. "Monitoring the Fragmentation at Any Scale," World Scientific Book Chapters, in: Charles-Albert Lehalle & Sophie Laruelle (ed.), Market Microstructure in Practice, chapter 1, pages 33-115, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813231139_0001
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    Keywords

    Market Microstructure; Finance; Financial Markets; Market Liquidity; Financial Regulation; MiFID; Reg NMS; ESMA;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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