Working Papers

Dark Trading and Price Discovery, 2020. [Slides] (make sure to download the pdf to allow for interactivity)

Abstract: In this paper I model the limit order book together with a dark pool and study the effects, which the dark pool brings to the strategies of traders in lit markets.


Dark Trading and Financial Markets Stability, 2020, with Jorge Gonçalves, and Roman Kräussl.

Abstract: This paper examines how the implementation of a new dark order - Midpoint Extended Life Order (M-ELO) on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to estimate the effect of dark order trading activity on market stability and liquidity provision. The results suggest a predominance of a speed bump effect of M-ELO rather than a darkness effect. We find that the introduction of M-ELO increases market stability by reducing the average number of mini-flash crashes, but its impact on market quality is mixed.