Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility
AbstractI 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.
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Bibliographic InfoPaper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 200602.
Length: 20 pages
Date of creation: 09 Jan 2006
Date of revision:
Publication status: Published in Competition and Regulation in Network Industries 1, 2006, 471-85.
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ECN; Super Montage; Total View; market impact;
Other versions of this item:
- B. Mizrach, 2006. "Does SIZE matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Competition and Regulation in Network Industries, Intersentia, vol. 7(4), pages 471-486, December.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G20 - Financial Economics - - Financial Institutions and Services - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-CFN-2006-01-24 (Corporate Finance)
- NEP-FIN-2006-01-24 (Finance)
- NEP-FMK-2006-01-24 (Financial Markets)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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University of California at San Diego, Economics Working Paper Series
qt6dm6093f, Department of Economics, UC San Diego.
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