TY  - UNPD
A1  - Gomber, Peter
A1  - Sagade, Satchit
A1  - Theissen, Erik
A1  - Weber, Moritz Christian
A1  - Westheide, Christian
T1  - Spoilt for choice: order routing decisions in fragmented equity markets
T2  - SAFE working paper series ; No. 143
N2  - The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent of new trading venues and significant changes in the market shares of existing ones. We use an extensive panel dataset from the European equity markets to analyze the market shares of five categories of lit and dark trading mechanisms. Market design features, such as minimum tick size, immediacy and anonymity; market conditions, such as liquidity and volatility; and the informational environment have distinct implications for order routing decisions and trading venues' resulting market shares. Furthermore, these implications differ distinctly for small and large trades, probably because traders jointly optimize their trade size and venue choice. Our results both confirm and go beyond current theoretical predictions on trading in fragmented markets.
T3  - SAFE working paper - 143 
KW  - Dark Trading
KW  - Fragmentation
KW  - Anonymity
KW  - Immediacy
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/41695
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-416950
UR  - https://ssrn.com/abstract=2839285
N1  - First draft: October 2014. This draft: August 2016
PB  - SAFE
CY  - Frankfurt am Main
ER  -