Internalization in European Equity Markets Following the Adoption of the EU MiFID Directive

Anolli, Mario; Petrella, Giovanni

doi:10.3905/jot.2007.682142

Cited by 8 publications

(2 citation statements)

References 7 publications

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“…Anolli and Petrella (2007) simulate market‐making revenues for SIs using data for 57 liquid stocks traded on the Italian exchange and estimate that potential gross trading revenues from internalization are equivalent to 0.21 per cent of the internalized turnover. In their simulation, spread (positioning) revenues are equivalent to 0.05 per cent (0.16 per cent) of the internalized turnover, accounting for 25 per cent (75 per cent) of the overall trading revenues, and exhibit significantly lower (higher) volatility than positioning (spread) revenues.…”

Section: Notesmentioning

confidence: 99%

MiFID, Reg NMS and competition across trading venues in Europe and the USA

Petrella

2010

Journal of Financial Regulation and Compliance

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PurposeThe purpose of this paper is to evaluate how markets in financial instruments directive (MiFID) and regulation national market system (Reg NMS) affect the competition for order flow among trading venues in, respectively, Europe and the USA.Design/methodology/approachThe paper examines the differences between MiFID and Reg NMS and provides, based on market microstructure principles, insights as to their likely impact on European and the US securities markets.FindingsAlthough MiFID and Reg NMS share the common objective of enhancing competition in securities markets, they adopt different provisions with respect to three issues that strongly influence the competition for order flow among trading venues. Specifically, some of the provisions set forth by the US regulation with respect to the best execution duty, the consolidation of market data and the disclosure of execution quality information appear to be more effective, compared to the European Union ones, in strengthening competition for order flow among trading venues.Research limitations/implicationsRegulatory factors can only partly explain the current structure of the European and US securities markets. Technology and heterogeneity in traders' demand are other important factors that concur in shaping the European and US markets.Practical implicationsThe degree of competition for order flow among trading venues depends on how regulations define the best execution duty, the availability of updated and consolidated pre‐trade (i.e. quotations) and post‐trade (i.e. transactions) information and the efficiency of post‐trading infrastructures.Originality/valueThe paper addresses issues not yet investigated and provides valuable insights for financial intermediaries, incumbent and prospective exchanges as to the competition in the securities industry, and to regulators as to the likely impact of the new regulations.

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Section: Notesmentioning

confidence: 99%

MiFID, Reg NMS and competition across trading venues in Europe and the USA

Petrella

2010

Journal of Financial Regulation and Compliance

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“…Up to 67% of investment managers indicate that they use trading algorithms (Grossman, 2005). They may become more prolific due to the emergence of 'best execution' requirements as in MIFID (following Anolli and Petrella, 2007;Brandes and Domowitz, 2011). Trading algorithms provide one way to for informed traders to shift large blocks of stock while minimizing transaction costs (Humphery-Jenner, 2011; Kissell, Glantz and Malamut, 2004;Malamut, 2005, 2006).…”

Section: Introductionmentioning

confidence: 99%

High Frequency Trading, Information, and Takeovers

Humphery‐Jenner

2011

SSRN Journal

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This paper (1) proposes new variables to detect informed highfrequency trading (HFT), (2) shows that HFT can help to predict takeover targets, and (3) shows that HFT influences target announcement announcement returns. Prior literature suggests that informed trade may occur before takeovers, but has not examined the role of HFT and has relied on monthly measures of informed trade (such as PIN or the spread components). I propose microstructure-based variables to detect HFT that are derived from hazard modeling and from VWAP trading algorithms. I show that these can help predict takeover targets and are significantly related to target announcement returns. This highlights the existence of pre-takeover informed trade and the need to control for it when analyzing takeover returns.

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Intelligent Inventory Management for Cryptocurrency Brokers

Felder

Seemüller²

2022

Proceedings of the Third ACM International Conference on AI in Finance

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Internalization in European Equity Markets Following the Adoption of the EU MiFID Directive

Cited by 8 publications

References 7 publications

MiFID, Reg NMS and competition across trading venues in Europe and the USA

MiFID, Reg NMS and competition across trading venues in Europe and the USA

High Frequency Trading, Information, and Takeovers

Intelligent Inventory Management for Cryptocurrency Brokers

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