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

Research output: Contribution to journalBook/Film/Article review

4 Citations (Scopus)


We study empirically the trading activity in the electronic on-book segment and in thedealership off-book segment of the London Stock Exchange, investigating separately thetrading of active market members and of other market participants who are non-members.We find that (i) the volume distribution of off-book transactions has a significantly fatter tailthan that of on-book transactions, (ii) groups of members and non-members can be classified incategories according to their trading profile, (iii) there is a strong anticorrelation between thedaily inventory variation of a market member due to on-book market transactions and aninventory variation due to off-book market transactions with non-members, and (iv) theautocorrelation of the sign of the orders of non-members in the off-book market is slowlydecaying. We also analyse the on-book price impact function over time, both for positive andnegative lags, of the electronic trades and of the off-book trades. The unconditional impactcurves are very different for the electronic trades and the off-book trades. Moreover, there is asmall dependence of the impact on the volume for the on-book electronic trades, while the shapeand magnitude of the impact function of off-book transactions strongly depend on volume.
Original languageEnglish
Pages (from-to)517-530
Number of pages14
JournalQuantitative Finance
Publication statusPublished - 2012

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics, Econometrics and Finance(all)

Fingerprint Dive into the research topics of 'Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange'. Together they form a unique fingerprint.

  • Cite this