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Primary Article

Liquidity Begets Liquidity

Implications for a Dark Pool Environment

Asani Sarkar, Robert A. Schwartz and Nick Klagge
Trading Winter 2009, 2009 (1) 15-20
Asani Sarkar
A research officer at the Federal Reserve Bank of New York in New York, NY. asani.sarkar@ny.frb.org
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Robert A. Schwartz
The Marvin M. Speiser professor of finance at Zicklin School of Business, Baruch College of the City University of New York in New York, NY. robert.schwartz@baruch.cuny.edu
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Nick Klagge
A research associate at the Federal Reserve Bank of New York in New York, NY. nicholas.klagge@ny.frb.org
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Abstract

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.

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Trading: 2009 (1)
Algorithmic Trading II: Precision, Control, Execution - 2006
Vol. 2009, Issue 1
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Liquidity Begets Liquidity
Asani Sarkar, Robert A. Schwartz, Nick Klagge
Trading Dec 2009, 2009 (1) 15-20;

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Liquidity Begets Liquidity
Asani Sarkar, Robert A. Schwartz, Nick Klagge
Trading Dec 2009, 2009 (1) 15-20;
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