Block-Crossing Networks and The Value of
Natural Liquidity
Vladimir Markov and Tito Ingargiola
The Journal of Trading Summer 2013, 8 (3) 16-39; DOI: https://doi.org/10.3905/jot.2013.8.3.016
Vladimir Markov
is the head of market structure research at Liquidnet in New York, NY.
Tito Ingargiola
is the head of U.S. algo development at Liquidnet in New York, NY.
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In this issue
Block-Crossing Networks and The Value of
Natural Liquidity
Natural Liquidity
Vladimir Markov, Tito Ingargiola
The Journal of Trading Jun 2013, 8 (3) 16-39; DOI: 10.3905/jot.2013.8.3.016
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- Article
- Abstract
- DARK POOL LANDSCAPE
- BENEFITS OF NATURAL LIQUIDITY
- BLOCK CHALLENGES
- The Mechanics of Crosses
- The Pool as a Network
- Quantification of Fragmentation and Sparsity
- Modeling of Trade Arrivals: Liquidity Begets Liquidity
- Optimal Shape of the Order Distribution
- Indication and Trade Intensities
- INFLECTION POINTS
- SUMMARY
- ENDNOTE
- REFERENCES
- Info & Metrics
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