The Cost of Exposing Large Institutional Orders to Electronic Liquidity Providers
Published Online:25 Jul 2023https://doi.org/10.1287/mnsc.2023.4871
References
- (2005) Direct estimation of equity market impact. Risk 18(7):58–62.Google Scholar
- (2011) Performance of institutional trading desks: An analysis of persistence in trading costs. Rev. Financial Stud. 25(2):557–598.Crossref, Google Scholar
- (2013) Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis. J. Financial Econom. 108(3):773–797.Crossref, Google Scholar
- (2021) Institutional order handling and broker-affiliated trading venues. Rev. Financial Stud. 34(7):3364–3402.Crossref, Google Scholar
- (2011) Does smart routing matter? J. Trading 6(1):32–37.Crossref, Google Scholar
- (2019) Brokers and order flow leakage: Evidence from fire sales. J. Finance 74(6):2707–2749.Crossref, Google Scholar
- (2016) Can brokers have it all? On the relation between make-take fees and limit order execution quality. J. Finance 71(5):2193–2238.Crossref, Google Scholar
- (1998) Optimal control of execution costs. J. Financial Markets 1(1):1–50.Crossref, Google Scholar
- (2016) Liquidity, resiliency and market quality around predictable trades: Theory and evidence. J. Financial Econom. 121(1):142–166.Crossref, Google Scholar
- (2014) High-frequency trading and the execution costs of institutional investors. Financial Rev. 49(2):345–369.Crossref, Google Scholar
- (2018) High frequency trading and extreme price movements. J. Financial Econom. 128(2):253–265.Crossref, Google Scholar
- (2005) Predatory trading. J. Finance 60(4):1825–1863.Crossref, Google Scholar
- (2022) Diving into dark pools. Financial Management 51(4):961–994.Google Scholar
- (2015) Dark trading and price discovery. J. Financial Econom. 118(1):70–92.Crossref, Google Scholar
- (2018) Dark trading volume and market quality: A natural experiment. Preprint, submitted April 3, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3088715.Google Scholar
- (2016) Should we be afraid of the dark? Dark trading and market quality. J. Financial Econom. 122(3):456–481.Crossref, Google Scholar
- (2017) An empirical analysis of market segmentation on us equity markets. J. Financial Quant. Anal. 52(6):2399–2427.Crossref, Google Scholar
- (2015) Click or call? Auction vs. search in the over-the-counter market. J. Finance 70(1):419–447.Crossref, Google Scholar
- (2011) Does algorithmic trading improve liquidity. J. Finance 66(1):1–33.Crossref, Google Scholar
- (2021) Do high-frequency traders anticipate buying and selling pressure? Management Sci. 67(6):3321–3345.Link, Google Scholar
- (2014) The empirical analysis of liquidity. Foundations Trends Finance 8(4):263–365.Crossref, Google Scholar
- (2010) Algorithmic Trading & DMA: An Introduction to Direct Access Trading Strategies, vol. 200 (4Myeloma Press, London).Google Scholar
- (2001) Sixteenths: Direct evidence on institutional execution costs. J. Financial Econom. 59(2):253–278.Crossref, Google Scholar
- (1998) The cost of institutional equity trades. Financial Anal. J. 54(4):50–69.Crossref, Google Scholar
- (2019) High-frequency market making to large institutional trades. Rev. Financial Stud. 32(3):1034–1067.Crossref, Google Scholar
- (2011) Is market fragmentation harming market quality. J. Financial Econom. 100(3):459–474.Crossref, Google Scholar
- (2019) Relative tick size and the trading environment. Rev. Asset Pricing Stud. 9(1):47–90.Crossref, Google Scholar
- (1988) The implementation shortfall: Paper vs. reality. J. Portfolio Management 14(3):4–9.Crossref, Google Scholar
- Rosenblatt Securities (2021) A closer look at off-exchange and retail market share. Sell-side industry report.Google Scholar
- (2019) Short-term trading skill: An analysis of investor heterogeneity and execution quality. J. Financial Markets 42:1–28.Crossref, Google Scholar
- (2007) Dark Pools and Algorithmic Trading. Algorithmic Trading Handbook, 2nd ed. (The Trade, London), 59–72.Google Scholar
- (2019) High-frequency trading around large institutional orders. J. Finance 74(3):1091–1137.Crossref, Google Scholar
- (2020) Back-running: Seeking and hiding fundamental information in order flows. Rev. Financial Stud. 33(4):1484–1533.Crossref, Google Scholar
- (2018) Why trading speed matters: A tale of queue rationing under price controls. Rev. Financial Stud. 31(6):2157–2183.Crossref, Google Scholar

