لایب سان

Author(s): Walter Mattli

Publisher: Oxford University Press, Year: 2018

ISBN: 0198829469,9780198829461

List of Figures 4.1. Arbitrage opportunity presented by differential price feeds 69 4.2. Effect of randomized delay on arbitrage opportunity 70 5.1. Top-tier exchange access fees and rebates for shares executed at or above $1, by exchange, as of 3 April 2017 94 5.2. Average daily block volume and block volume as a percentage of total volume, by exchange 105 5.3. Block volume as a percentage of total volume, by tape and exchange 105 5.4. Average daily midpoint volume and midpoint volume as a percentage of total volume, by exchange; average daily midpoint block volume, by exchange and whether stock versus ETF 107 5.5. Queue size, as measured by average size available at the NBBO, by exchange 108 5.6. Blended cost of execution by exchange and fee schedule tier 111 5.7. Variants of trade markouts measured from the liquidity adder’s perspective 115 5.8. Price improvement, by exchange 118 5.9. Quoted spread, effective spread, and the effective-to-quoted spread ratio, by exchange 120 5.10. Equal-weighted and volume-weighted percentage of time and aggregate size available at the NBBO, by exchange 123 5.11. Volume-weighted time at the inside during locked and crossed markets, by exchange 124 5.12. Percentage of midpoint volume where the NBBO midpoint is unchanged some time after the trade, by exchange 126 5.13. Percentage of midpoint volume, average daily midpoint volume, and percentage of all volume for trades executing within the 2ms window immediately prior to an NBBO change 128 7.1. Improvement in execution quality after voluntary disclosure 182 7.2. Implementation shortfall and commission costs 186 11.1. Relative share of on-market trading 285 11.2. Share of dark trading by value 286 OUP CORRECTED PROOF – FINAL, 9/11/2018, SPi 11.3. Exchange-traded and non-exchange-traded financial products in Australia 287 11.4. Share of dark liquidity, March quarter 2015 303 12.1. Duplicated orders by degree of market fragmentation 313 12.2. Duplicated orders, HFT vs non-HFT across sample 314 12.3. Gross and net liquidity in the 100ms window 315 12.4. Gross and net liquidity in the 500ms window 315 12.5. GBP flash crash: loss of 6 per cent in less than 10 minutes 316 12.6. Sequencing of circuit breaker mechanism 318 12.7. Number of circuit breaker trigger events: spikes following market events 319 12.8. Circuit breaker impact: reduced volatility after the circuit breaker incidents 320 12.9. Circuit breaker impact: higher spreads after the circuit breaker incidents 321 12.10. Spike in bid-ask spread and sharp fall of volatility during the reference market halt 322 12.11. Increase in orders cancelled during the reference market halt 322 13.1. Market share of TSX-listed securities, by volume 335 13.2. Market share of TSXV-listed securities, by volume 335 13.3. Amount and percentage of dark trading 348 OUP CORRECTED PROOF – FINAL, 9/11/2018, SPi List of Figures viii List of Tables 4.1. Top ten firms by total FX volume, 2016 67 4.2. Recent flash crashes in foreign exchange markets 74 5.1. Average market share as reported by Cboe Global Markets for US stock exchanges operational during 1Q2017 92 5.2. Overview of our analyses comparing execution quality across US stock exchanges 98 5.3. Percentage of total volume and number of symbols eligible, ineligible, and ineligible if disregarding auctions from Daily TAQ data for 1Q2017 101 5.4. Example of blended cost, expressed in mils per share, based on the active-to-passive ratio and pricing tier reached 111 5.5. Example of NBBO prices for computing trade markouts 114 5.6. Price improvement metrics by exchange 119 6.1. Liquidity fees and rebates generated by orders in NASDAQ-listed securities executed on US stock exchanges as of 1 October 2016 150 6.2. Financial Information Forum Rule 605/606 working group retail execution quality statistics for market orders seeking to trade securities in the S&P500 index for 4Q2012 153 6.3. Order flow payments made to retail brokers in 4Q2012 154 6.4. Ameritrade’s routing of non-directed orders seeking to trade NASDAQ-listed securities during 4Q2016 156 6.5. Ameritrade Clearing’s routing of non-directed orders seeking to trade NASDAQ-listed securities during 4Q2016 157 6.6. TD Ameritrade’s implied routing of non-directed orders seeking to trade NASDAQ-listed securities during 4Q2016 157 6.7. E*Trade’s routing of non-directed orders seeking to trade NASDAQ-listed securities during 4Q2016 159 6.8. Scottrade’s routing of non-directed orders seeking to trade NASDAQ-listed securities during 4Q2016 160 6.9. Fidelity’s routing of non-directed orders seeking to trade NASDAQ-listed securities during 4Q2016 161 OUP CORRECTED PROOF – FINAL, 9/11/2018, SPi 6.10. Charles Schwab’s routing of non-directed orders seeking to trade NASDAQ-listed securities during 4Q2016 162 11.1. High frequency trading in Australian markets, March quarter 2015 297 11.2. Estimated high frequency trading costs 300 12.1. HFT activity: overall results for the HFT flag and lifetime of orders approaches 311

برای ارسال نظر لطفا وارد شوید یا ثبت نام کنید