Angelo Carollo

  1. Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange.

    Authors: Gabriella Vaglica, Fabrizio Lillo, Rosario N. Mantegna, Angelo Carollo
    Subjects: Trading and Market Microstructure
    Abstract

    We empirically study the trading activity in the electronic on-book segment
    and in the dealership off-book segment of the London Stock Exchange,
    investigating separately the trading of active market members and of other
    market participants which are non-members.

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