Concept
Dark pool
Publications associées (11)
Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch
Pierre Collin Dufresne, Vincent Jean Bogousslavsky
We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...
2020Liquidity regimes and optimal dynamic asset allocation
We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...
ELSEVIER SCIENCE SA2020Market Structure and Transaction Costs of Index CDSs
Pierre Collin Dufresne, Jan Benjamin Junge
Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...
WILEY2020