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A GARCH analysis of dark-pool trades

Author

Listed:
  • Philippe de Peretti

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Oren Tapiero

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

The ability to trade in dark-pools without publicly announcing trading orders, concerns regulators and market participants alike. This paper analyzes the information contribution of dark trades to the intraday volatility process. The analysis is conducted by performing a GARCH estimation framework where errors follow the generalized error distribution (GED) and two different proxies for dark trading activity are separately included in the volatility equation. Results indicate that dark trades convey important information on the intraday volatility process. Furthermore, the results highlight the superiority of the proportion of dark trades relative to the proportion of dark volume in affecting the one-step-ahead density forecast

Suggested Citation

  • Philippe de Peretti & Oren Tapiero, 2014. "A GARCH analysis of dark-pool trades," Post-Print hal-00984834, HAL.
    • Handle: RePEc:hal:journl:hal-00984834
    Note: View the original document on HAL open archive server: https://paris1.hal.science/hal-00984834
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    References listed on IDEAS

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    More about this item

    Keywords

    Dark Pools; Density Forecast; Dark Volume; Dark trade;
    All these keywords.

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