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
Matthieu Lasnier
is a quantitative research analyst at Kepler Cheuvreux in Paris, France
Antoine Falck
is a quantitative research intern at Kepler Cheuvreux in Paris, France
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In this issue
The Journal of Investing
Vol. 30, Issue 3
April 2021
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
- Info & Metrics
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