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Article

Top 50 Australian Stocks’ Exchange Dark Pool Participation Rate

David Stocken and Andrew McCauley
The Journal of Trading Fall 2015, 10 (4) 24-27; DOI: https://doi.org/10.3905/jot.2015.10.4.024
David Stocken
is the principal of Stocken Consulting in Sydney, Australia.
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  • For correspondence: david@stockenconsulting.com.au
Andrew McCauley
is a quantitative analyst at Veritas Securities in Sydney, Australia.
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  • For correspondence: amccauley@veritassecurities.com.au
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Abstract

The two competing Australian stock exchanges have an extremely high and growing percentage of their trading volumes being transacted from within their own competing dark pool matching services. In this article, the authors determine the exchange dark pool participation rate (EDPPR) in 50 of the largest Australian stocks by market capitalization during a three-month period (October 2014 through December 2014). The hypothesis is that the higher the stock price is, the lower the EDPPR will be.

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The Journal of Trading: 10 (4)
The Journal of Trading
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Fall 2015
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Top 50 Australian Stocks’ Exchange Dark Pool Participation Rate
David Stocken, Andrew McCauley
The Journal of Trading Sep 2015, 10 (4) 24-27; DOI: 10.3905/jot.2015.10.4.024

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Top 50 Australian Stocks’ Exchange Dark Pool Participation Rate
David Stocken, Andrew McCauley
The Journal of Trading Sep 2015, 10 (4) 24-27; DOI: 10.3905/jot.2015.10.4.024
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