TY  - UNPD
A1  - Gonçalves, Jorge
A1  - Kräussl, Roman
A1  - Levin, Vladimir
T1  - Dark trading and financial markets stability
N2  - This paper examines how the implementation of a new dark order - Midpoint Extended Life Order 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 M-ELO trading 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.
T3  - CFS working paper series - No. 691 
KW  - Market microstructure
KW  - financial market stability
KW  - mini-flash crash
KW  - dark trading
KW  - speed bump
KW  - investor protection
Y1  - 2023
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/68147
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-681471
UR  - https://ssrn.com/abstract=3384719
N1  - This work was supported by the Luxembourg National Research Fund.
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -