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Dark pools et trading haute-fréquence : une évolution utile ?

Author

Listed:
  • Fany Declerck
  • Laurence Lescourret

    (Finance Department - Essec Business School)

Abstract

Les développements technologiques et réglementaires ont favorisé l'essor de deux phénomènes majeurs associés à plus d'opacité : le trading haute fréquence (THF) et les dark pools. Une transaction sur deux est désormais le fait du THF. Les dark pools attirent respectivement 10 % du volume de transactions en Europe et 20 % aux États-Unis, notamment en raison des traders haute fréquence ciblant les ordres non informés qui s'y échangent. Les études académiques montrent que les coûts de transaction n'ont jamais été aussi faibles sous la pression concurrentielle du THF. Ils sont toutefois stables depuis 2009 alors même que la vitesse ne cesse d'augmenter. L'efficience des marchés s'est améliorée grâce à l'activité d'arbitrage du THF. Cependant, plus le volume d'échange se déplace vers les dark pools, plus le risque d'une dégradation de la liquidité et de l'efficience augmente. Si l'on ajoute le risque de distorsion de concurrence et le risque opérationnel et technologique, les régulateurs font face à des enjeux de plus en plus complexes.

Suggested Citation

  • Fany Declerck & Laurence Lescourret, 2015. "Dark pools et trading haute-fréquence : une évolution utile ?," Post-Print halshs-01398632, HAL.
  • Handle: RePEc:hal:journl:halshs-01398632
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01398632
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    References listed on IDEAS

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    1. Degryse, Hans & Van Achter, Mark & Wuyts, Gunther, 2009. "Dynamic order submission strategies with competition between a dealer market and a crossing network," Journal of Financial Economics, Elsevier, vol. 91(3), pages 319-338, March.
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    Cited by:

    1. Declerck, F., 2016. "High-frequency trading, geographical concerns and the curvature of the Earth," Financial Stability Review, Banque de France, issue 20, pages 153-160, April.

    More about this item

    Keywords

    Finance;

    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D62 - Microeconomics - - Welfare Economics - - - Externalities
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General

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