Dark Pools: The Structure and Future of Off-Exchange Trading and Liquidity

`This is an excellent book. It is bang up to date, in what is a very fast changing area. It is clearly written, and provides a very comprehensive description of these markets and how they work. While it fully covers dark pools, its coverage is much wider than that - covering trading in equity markets more generally.'---Professor Charles Sutcliffe, The ICMA Centre, University of Reading, UK

Dark Pools is a practical text dealing with the increasingly important topic of dark pools, or nondisplayed, off-exchange trading and liquidity. A growing amount of institutional trading occurs away from exchanges and expansion in this little-understood sector of the market is set to continue. The book is organized in three parts: Market Structure, Micro Issues and Environment of the Future. The chapters in the first part consider the development and evolution of the equity trading marketplace over the past two decades, including the creation of dedicated dark pool platforms, and introduce the concept of market liquidity, the formation of displayed and nondisplayed orders, and the operation and structure of key dark pools. Attention then turns to the architecture of a typical dark pool, and how orders are routed to capture dimensions of nondisplayed liquidity. This is followed by an analysis of the pricing and economics of dark liquidity and common trading strategies employed by institutions - including dark algorithms, high frequency trading and the controversial mechanism of `gaming'. The chapters in the final part analyze the regulatory and control framework and consider how dark pools may evolve in a post-financial crisis world.

is responsible for risk management within the Corporate and Investment Bank at the European universal bank, UniCredit. Over the past 23 years he has held senior risk positions at Citibank, Merrill Lynch and in the hedge fund sector, in New York, Tokyo, Hong Kong, London and Munich. He is the author of more than 20 books on risk, derivatives, emerging markets and governance.

Series Editors: Adrian R. bell, John Board, Charles Sutcliffe, Charles Ward, ICMA Centre, University of Reading, UK The Finance and Capital Markets series is designed to bring you authoritative, yet accessible, books written by experts in their field. these books provide clear, practical guidance not only for industry professionals, but also serve as a framework of current analysis for scholars and form a comprehensive reference resource for libraries.

The Series Editors are at the ICMA Centre, University of Reading, UK, whose mission is to teach and research in the area of capital markets to the highest international standard