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Article

The Benefits of European Periodic Auctions beyond MiFID Dark Trading Caps

Paul Besson, Matthieu Lasnier and Antoine Falck
The Journal of Investing October 2019, joi.2019.1.096; DOI: https://doi.org/10.3905/joi.2019.1.096
Paul Besson
is the head of quantitative research at Kepler Cheuvreux in Paris, France
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Matthieu Lasnier
is a quantitative research analyst at Kepler Cheuvreux in Paris, France
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Antoine Falck
is a quantitative research intern at Kepler Cheuvreux in Paris, France
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The Journal of Investing: 30 (3)
The Journal of Investing
Vol. 30, Issue 3
April 2021
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The Benefits of European Periodic Auctions beyond MiFID Dark Trading Caps
Paul Besson, Matthieu Lasnier, Antoine Falck
The Journal of Investing Jul 2019, joi.2019.1.096; DOI: 10.3905/joi.2019.1.096

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The Benefits of European Periodic Auctions beyond MiFID Dark Trading Caps
Paul Besson, Matthieu Lasnier, Antoine Falck
The Journal of Investing Jul 2019, joi.2019.1.096; DOI: 10.3905/joi.2019.1.096
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  • Article
    • Abstract
    • ORIGIN AND DESIGN OF PERIODIC AUCTIONS
    • SURGE IN PERIODIC AUCTION MARKET SHARE
    • PERIODIC AUCTION AVERAGE TRADE SIZES
    • PERIODIC AUCTION TIMING AND TRADING INTENSITY
    • PERIODIC AUCTION PRICE REVERSION, SHOWING NO OPPORTUNITY LOSS
    • PERIODIC AUCTIONS TO ENABLE A REDUCTION IN MARKET IMPACT
    • CONCLUSION
    • ADDITIONAL READING
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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