خرید و دانلود نسخه کامل کتاب Dark Pools: Off-Exchange Liquidity in an Era of High Frequency, Program, and Algorithmic Trading – Original PDF

A Definition The “dark pool” – a somewhat mysterious, even ominous, term – is the name given to a market structure that has become an integral part of the traded financial markets of the twenty-first century. While on the surface the concept of a dark pool might sound threatening, reality is fortunately rather different: such pools convey a range of benefits to both buy-side investors/traders and sell-side brokers and dealers, contributing to rapid growth in a relatively short period. Before embarking on a more detailed discussion of the subject, let us begin by removing the shroud from the term. We can do so through a simple definition: A dark pool is a venue or mechanism containing anonymous, nondisplayed trading liquidity that is available for execution. We can clarify this even further by parsing the definition. Anonymous, nondisplayed trading liquidity is order flow that is submitted confidentially and is not visible to the market at large, that is, it does not appear in public order books, like those operated by exchanges. The fact that the flow is not visible has given rise to the term “dark” liquidity. Note that by extension visible trades are commonly referred to as “lit” liquidity. A venue is any electronic platform that is involved either solely or partly in housing nondisplayed liquidity. A mechanism is any structure within an exchange or any venue/participant in the market that houses nondisplayed liquidity. Execution is the ability to buy or sell an asset through the submission of an order. Therefore, we may summarize by saying that a dark pool is an accumulation of orders to buy or sell assets, but whose existence is not publicly known or advertised. This is but one way of defining the dark pool sector, but it is useful and workable for our purposes.