activity
20072011
most citedMarket impact and trading profile of large trading orders in stock markets

228 citations · 322 across the 3 of their papers we have counts for

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Showing 2011Show all

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q-fin.TR2011

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

Angelo Carollo, Gabriella Vaglica, Fabrizio Lillo +1

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 tradin…