Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/268893 
Year of Publication: 
2023
Series/Report no.: 
CFS Working Paper Series No. 691
Publisher: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Abstract: 
This paper examines how the implementation of a new dark order - Midpoint Extended Life Order on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to estimate the effect of M-ELO trading on market stability and liquidity provision. The results suggest a predominance of a speed bump effect of M-ELO rather than a darkness effect. We find that the introduction of M-ELO increases market stability by reducing the average number of mini-flash crashes, but its impact on market quality is mixed.
Subjects: 
Market microstructure
financial market stability
mini-flash crash
dark trading
speed bump
investor protection
JEL: 
G10
G14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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