The paper presents new evidence on the contribution to price discovery of the upstairs market. The ‘component share' and ‘information share' measures are used, supplemented by the probability of informed trading (PIN) analysis. Most discovery arises downstairs, consistent with previous...

The quality of ultra-high frequency quotes submitted to an entrant high-tech market (BATS Chi-X Europe – Chi-X) is compared to those of an established national exchange (London Stock Exchange – LSE). There are intraday variations regarding which platform impounds new information about the...

We investigate the role of price leadership and informed trading in the competition for order flow between high-tech entrant trading venues and established national trading venues. An analysis of BATS Chi-X Europe (Chi-X), a high-tech entrant, and London Stock Exchange (LSE), an established...