We examine how fragmentation is affecting market quality in US equity markets. We use
newly available trade reporting facilities (TRFs) data to measure fragmentation, and we use …

Technological advances and regulatory initiatives have led to the emergence of a
competitive, but fragmented, equity trading landscape in several markets around the world …

On July 31, 2001, for the first time in its history, the New York Stock Exchange (NYSE) began
trading three unlisted securities. The DIA, SPY, and QQQ are the most actively traded …

This paper studies the impact of order flow fragmentation on market quality. Due to
differences in market structure, order flow becomes more consolidated when stocks switch …

We investigate competition between traditional stock exchanges and new dark trading
venues using an important difference in regulatory treatment. Securities and Exchange …

Behavioural models generally require that the investment decisions of irrational investors
aggregate in a systematic way. Using a unique Australian dataset of individual investor …

We analyze the use of alternative trading systems in a large sample of institutional orders
and the trades that constitute these orders. Proprietary data allow us to distinguish between …

We analyse the trade characteristics and market conditions which determine the market
share of a continuous auction trading system at the London Stock Exchange, where a …

In September of 2020, two new equity exchanges, Members Exchange and Miami
International Holdings Pearl Equities Exchange, were introduced further fragmenting an …

The market microstructure literature studies how the actual transaction process–ie how
buyers and sellers find one another and agree on a price–can affect price formation and …