Is Market Fragmentation Harming Market Quality

By Maureen O’Hara, Mao Ye. 2009

512 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/54e96791641e84ab1074f0315404b2e96fc3351c

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Citations in the corpus

Trading Rules, Competition for Order Flow and Market Fragmentation (2015, background): “Venue classifications Non-exchange trading venues have a diverse range of operational structures (O’Hara and Ye, 2011).”
Competing on Speed (2018, unknown): “Foucault and Menkveld (2008), O’Hara and Ye (2011), and Degryse, De Jong, and Kervel (2014), among others, find that an increase in trading fragmentation is associated with lower costs and faster execution speeds in a given asset class.”
Benchmark Dataset for Mid-Price Prediction of Limit Order Book data (2017, background): “In the case of fragmented markets, the limit orders for a given asset are spread between several exchanges, posing problems on empirical data analysis [38].”
Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011, unknown): “during the last decades as well as their increased trading activity had been reflected by the increase in the proportion of equities traded in blocks (Madhavan and Chang (1997), Stapledon (1996)).”
A visual analytics approach to understanding cycling behaviour (2012, unknown): “The most important non-dimensional numbers controlling the aerodynamic droplet breakup are the As breakup process is not instantaneous, the breakup timescale proposed by Nicholls and Ranger [2] can be used as a convenient non-dimensionalisation parameter for understanding the temporal development…”
Limit Order Books and Liquidity around Scheduled and Non-Scheduled Announcements: Empirical Evidence from NASDAQ Nordic (2017, unknown): “In this regard, Riordan et al. (2013) find that liquidity increases (spread tightens and depth increases) before and after positive announcements, whereas it decreases around negative announcements (in their paper, positivity/negativity is based on the tone of the news).”
Do Dark Pools Harm Price Discovery (2013, unknown): “Section 6 discusses these implications as well as recent empirical evidence documented by Ready (2010), Buti, Rindi, and Werner (2010a), Ye (2010), Ray (2010), Nimalendran and Ray (2011), Degryse, de Jong, and van Kervel (2011), O’Hara and Ye (2011), and Weaver (2011), among others.”
The Euro Interbank Repo Market (2016, unknown): “Volatility and illiquidty In addition to the four risk mitigation channels discussed above, the financial crisis may have affected the quality of the repo market; that is, volatility and illiquidity as proxies for market quality (O’Hara and Ye, 2011) might have increased.”