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Understanding the Stakes and the Roots of Fragmentation

In: Market Microstructure in Practice

Author

Listed:
  • Charles-Albert Lehalle
  • Sophie Laruelle

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

Suggested Citation

  • Charles-Albert Lehalle & Sophie Laruelle, 2018. "Understanding the Stakes and the Roots of Fragmentation," World Scientific Book Chapters, in: Charles-Albert Lehalle & Sophie Laruelle (ed.), Market Microstructure in Practice, chapter 2, pages 117-191, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813231139_0002
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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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