Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues around the Global Financial Crisis

1. Front Matter

   Pages i-xiv

   PDF

2. Institutional and Regulatory Developments

   • Tommi A. Vuorenmaa

   Pages 1-5

3. Preliminary Analysis

   • Tommi A. Vuorenmaa

   Pages 6-22

4. Liquidity Estimation

   • Tommi A. Vuorenmaa

   Pages 23-27

5. Empirical Analysis

   • Tommi A. Vuorenmaa

   Pages 28-50

6. Conclusions

   • Tommi A. Vuorenmaa

   Pages 51-53

7. Back Matter

   Pages 54-75

   PDF

Since the 2008 financial crisis, researchers and policy makers have been looking to empirical data to distil both what happened and how a similar event can be avoided in the future. In Lit and Dark Liquidity with Lost Time Data, Vuorenmaa analyses liquidity to better understand the crux of the financial crisis. By relating liquidity to jump activity, market microstructure noise variance, and average pairwise correlation, Vuorenmaa uncovers the dynamics and ramifications behind anonymous trades made outside of public exchanges, and measures its impact on the crisis. This volume is ideal for academics, students, and practitioners alike, who are interested in investigating the role of lost time in and after the recession.

• automated trading
• dark pools
• high-frequency trading
• liquidity fragmentation
• development
• financial crisis
• global financial crisis
• liquidity
• trading
• investments and securities

• VALO Research and Trading, Finland

  Tommi A. Vuorenmaa

Tommi Vuorenmaa is Head of Research and a founding member of Valo Research and Trading Ltd., an automated trading company based in Helsinki, Finland. At Valo, Vuorenmaa leads trading strategy development with heavy emphasis on research using his expertise in financial econometrics.

Policies and ethics