Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility
I 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.
|Date of creation:||09 Jan 2006|
|Publication status:||Published in Competition and Regulation in Network Industries 1, 2006, 471-85.|
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- Engle, Robert F. & Patton, Andrew J., 2004.
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