Carollo, Angelo; Vaglica, Gabriella; Lillo, Fabrizio; … - In: Quantitative Finance 12 (2012) 4, pp. 517-530
We study empirically the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants who are non-members. We find that (i) the volume...