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- W2228736055 abstract "1 Abstract The paper presents new evidence on the contribution to price discovery of the upstairs market. The 'component share' and 'information share' measures are used, supplemented by the probability of informed trading (PIN) analysis. Most discovery arises downstairs, consistent with previous findings. But the upstairs market makes a non-negligible contribution, which approaches that of the downstairs market at the start and close of the day. The PIN estimates indicate that a higher proportion of upstairs than downstairs trades are informed. The upstairs has a larger role in price discovery than previous evidence suggests." @default.
- W2228736055 created "2016-06-24" @default.
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- W2228736055 date "2015-01-01" @default.
- W2228736055 modified "2023-09-30" @default.
- W2228736055 title "Why Automated Trading Venues Need Upstairs Markets" @default.
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- W2228736055 doi "https://doi.org/10.2139/ssrn.2557585" @default.
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