Dark Pools Off-Exchange Liquidity in an Era of High Frequency, Program, and Algorithmic Trading
, by Banks, Erik
- ISBN: 9781137449535 | 1137449535
- Cover: Hardcover
- Copyright: 11/3/2014
Dark Pools is a practical text dealing with the increasingly vital topic of non-displayed, off-exchange trading and execution – in other words, trading that cannot be detected on a screen or through an exchange. With approximately 40% of US equity trading and 10% each of European, Australian and Canadian trading executed off exchange, a thorough understanding of the sector is essential for those dealing in the global financial markets.
The new edition of Dark Pools discusses the development, importance, and practice of dark equity trading in an environment that has become increasingly dominated by high frequency, program, block, and algorithmic trading, and considers its future prospects in a world of sophisticated technology and analytics, mobile capital and changing regulation.
After an introductory overview this new text analyzes equity market structure by considering market liquidity, the formation of displayed and nondisplayed orders, and the resulting creation of dark liquidity. The discussion is extended by describing how dark pools exist and function from a structural perspective, considering in detail the key players and their interactions with one another and with established exchanges. Various 'micro' themes are then explored, including pricing and execution in both the visible and dark spaces, and the nature of dark trading strategies employed by participants, including those involving block trading, program trading, algorithmic trading, high frequency/ultra low latency trading, and gaming. The discussion is supplemented by a primer on technology issues related to order routing, matching and execution in both the visible and dark sectors.
The final section of the book focuses on regulation and the future of dark trading. A review of the regulatory/control framework surrounding dark pool activities considers important new regulatory changes that have been implemented in certain regions, such as those promulgated in Europe via MiFID II and enhancements put forth by national regulators in the US, Canada and Australia. The future of dark pools considers important issues such as pros/cons, sector consolidation, asset class expansion and technological advances.
In addition to the latest market developments in this vital sector of the financial markets, the new edition incorporates nearly two dozen 'Pools in Practice' mini-case studies/examples to reinforce the practical nature of the topic, and features an updated and expanded glossary.
The new edition of Dark Pools discusses the development, importance, and practice of dark equity trading in an environment that has become increasingly dominated by high frequency, program, block, and algorithmic trading, and considers its future prospects in a world of sophisticated technology and analytics, mobile capital and changing regulation.
After an introductory overview this new text analyzes equity market structure by considering market liquidity, the formation of displayed and nondisplayed orders, and the resulting creation of dark liquidity. The discussion is extended by describing how dark pools exist and function from a structural perspective, considering in detail the key players and their interactions with one another and with established exchanges. Various 'micro' themes are then explored, including pricing and execution in both the visible and dark spaces, and the nature of dark trading strategies employed by participants, including those involving block trading, program trading, algorithmic trading, high frequency/ultra low latency trading, and gaming. The discussion is supplemented by a primer on technology issues related to order routing, matching and execution in both the visible and dark sectors.
The final section of the book focuses on regulation and the future of dark trading. A review of the regulatory/control framework surrounding dark pool activities considers important new regulatory changes that have been implemented in certain regions, such as those promulgated in Europe via MiFID II and enhancements put forth by national regulators in the US, Canada and Australia. The future of dark pools considers important issues such as pros/cons, sector consolidation, asset class expansion and technological advances.
In addition to the latest market developments in this vital sector of the financial markets, the new edition incorporates nearly two dozen 'Pools in Practice' mini-case studies/examples to reinforce the practical nature of the topic, and features an updated and expanded glossary.
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