RT Journal Article
SR Electronic
T1 Liquidity Begets Liquidity
JF Trading
FD Institutional Investor Journals
SP 15
OP 20
VO 2009
IS 1
A1 Asani Sarkar
A1 Robert A. Schwartz
A1 Nick Klagge
YR 2009
UL http://guides.pm-research.com/content/2009/1/15.abstract
AB Dark liquidity pools have emerged and proliferated in recent years. Do they lower market quality or are the worries about them much ado about nothing? It is not possible to answer this question without understanding the dynamics of liquidity creation and the sidedness of markets (the extent to which buyers and sellers are both actively present in a market in roughly equal proportions). This article summarizes the authors' findings on sidedness, and discusses their implications for liquidity generation in general and for the development of dark pool liquidity in particular. The study has implications for algorithmic trading, transparency, and the effect of order flow fragmentation on liquidity creation.