A Challenger to the Limit Order Book: The NYSE Specialist

This paper gives a new answer to the challenging question raised by Glosten (1994): "Is the electronic order book inevitable?". While the order book enables traders to compete to supply anonymous liquidity, the specialist system enables one to reap the benefits from repeated interaction. We compare a competitive limit order book and a limit order book with a specialist, like the NYSE. Thanks to non-anonymous interaction, mediated by brokers, uninformed investors can obtain good liquidity from the specialist. This, however, creates an adverse selection problem on the limit order book. Market liquidity and social welfare are improved by the specialist if adverse selection is severe and if brokers have long horizon, so that reputation becomes a matter of concern for them. In contrast, if asymmetric information is limited, spreads are wider and utilitarian welfare is lower when the specialist competes with the limit order book than in a pure limit order book market.Limit order book; specialist; hybrid market

Cabozantinib After a Previous Immune Checkpoint Inhibitor in Metastatic Renal Cell Carcinoma: A Retrospective Multi-Institutional Analysis

Background: Angiogenesis has been recognized as the most important factor for tumor invasion, proliferation, and progression in metastatic renal cell carcinoma (mRCC). However, few clinical data are available regarding the efficacy of cabozantinib following immunotherapy. Objective: To describe the outcome of cabozantinib in patients previously treated with immunotherapy. Patients and methods: Patients with mRCC who received cabozantinib immediately after nivolumab were included. The primary endpoint was to assess the outcome in terms of efficacy and activity. Results: Eighty-four mRCC patients met the criteria to be included in the final analysis. After a median follow-up of 9.4 months, median overall survival was 17.3 months. According to the IMDC criteria, the rates of patients alive at 12 months in the good, intermediate, and poor prognostic groups were 100%, 74%, and 33%, respectively (p < 0.001). The median progression-free survival (PFS) was 11.5 months (95% CI 8.3-14.7); no difference was found based on duration of previous first-line therapy or nivolumab PFS. The overall response rate was 52%, stable disease was found as the best response in 25.3% and progressive disease in 22.7% of patients. Among the 35 patients with progressive disease on nivolumab, 26 (74.3%) patients showed complete/partial response or stable disease with cabozantinib as best response after nivolumab. The major limitations of this study are the retrospective nature and the short follow-up. Conclusions: Cabozantinib was shown to be effective and active in patients previously receiving immune checkpoint inhibitors. Therefore, cabozantinib can be considered a valid therapeutic option for previously treated mRCC patients, irrespective of the type and duration of prior therapies

INfluenza Vaccine Indication During therapy with Immune checkpoint inhibitors: a transversal challenge. The INVIDIa study

Aim: Considering the unmet need for the counseling of cancer patients treated with immune checkpoint inhibitors (CKI) about influenza vaccination, an explorative study was planned to assess flu vaccine efficacy in this population. Methods: INVIDIa was a retrospective, multicenter study, enrolling consecutive advanced cancer outpatients receiving CKI during the influenza season 2016-2017. Results: Of 300 patients, 79 received flu vaccine. The incidence of influenza syndrome was 24.1% among vaccinated, versus 11.8% of controls; odds ratio: 2.4; 95% CI: 1.23-4.59; p = 0.009. The clinical ineffectiveness of vaccine was more pronounced among elderly: 37.8% among vaccinated patients, versus 6.1% of unvaccinated, odds ratio: 9.28; 95% CI: 2.77-31.14; p < 0.0001. Conclusion: Although influenza vaccine may be clinically ineffective in advanced cancer patients receiving CKI, it seems not to negatively impact the efficacy of anticancer therapy

Undisclosed Orders and Optimal Submission Strategies in a Dynamic Limit Order Market

Recent evidence on electronic limit order markets shows a growing use of undisclosed orders. This paper offers a theory for the optimal submission strategy in a limit order book where traders simultaneously select price, quantity and exposure, and choose among limit, market, reserve (partially undisclosed) and hidden (totally invisible) orders. Our findings show that to compete for the provision of liquidity in shallow markets relatively patient traders use reserve orders, whilst aggressive traders use hidden pegged orders to undercut depth at the top of liquid books. Undisclosed orders are effective defensive strategies against front running by parasitic traders, whereas they protect against picking-off by scalpers only in slow markets where Fill&Kill orders are not used. Finally, our results show that undisclosed orders increase market depth on the top of the book, but widen the inside spread; as a result they can benefit institutional investors but harm retail traders.

Diving Into Dark Pools Diving Into Dark Pools

ABSTRACT This paper examines unique data on dark pool activity for a large cross-section of US stocks in 2009. Dark pool activity is concentrated in liquid stocks. Nasdaq (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks controlling for liquidity. For a given stock, dark pool activity is significantly higher on days with high share volume, high depth, low intraday volatility, low order imbalances relative to share volume, and low absolute returns. Results show that increased dark pool activity improves market quality measures such as spreads, depth, and short-term volatility. The relationship between dark pool activity and measures of price-efficiency is more complex.

Dark pool trading strategies, market quality and welfare

We show that when a continuous dark pool is added to a limit order book that opens illiquid, book and consolidated Öll rates and volume increase, but spread widens, depth declines and welfare deteriorates. The adverse e§ects on market quality and welfare are mitigated when book-liquidity builds but so are the positive e§ects on trading activity. All e§ects are stronger when tradersívaluations are less dispersed, access to the dark pool is greater, horizon is longer, and relative tick size larger

Diving into dark pools

We study 2009 and 2020 dark trading for U.S. stocks. Dark trading is lower when volume is low, volatility high, and in periods of markets stress. Dark pools are more active for large caps, while internalization is more common for small caps. Traders use dark pools to jump the queue for large caps in 2009, and to avoid crossing the spread for small caps in both years. Internalization is higher when spreads are wide and depth is high. Dark pool trading improves spreads in 2009, but worsens market quality for large caps in 2020. We discuss explanations for the change

Dark Pool Trading Strategies

We model a financial market where traders have access both to a fully transparent limit order book (LOB) and to an opaque Dark Pool (DP). When a DP is introduced to a LOB market,orders migrate to the DP from the LOB, but overall trading volume increases. Moreover, inside quoted depth in the LOB decreases, but quoted spreads tend to narrow in deep books and widen in shallow ones. DP market share is higher when LOB depth is high, when LOB spread is narrow, when the tick size is large and when traders seek protection from price impact. When depth decreases on one side of the LOB, liquidity is drained from the DP. When Flash orders provide select traders with information about the state of the DP, more orders migrate from the LOB to the DP but overall market quality improves.

Dynamic Dark Pool Trading Strategies in Limit Order Markets

We model a dynamic limit order market with traders that submit orders either to a limit order book (LOB) or to a Dark Pool (DP). We show that there is a positive liquidity externality in the DP, that orders migrate from the LOB to the DP, but that overall trading volume increases when a DP is introduced. We also demonstrate that DP market share is higher when LOB depth is high, when LOB spreads are narrow, when there is more volatility, and when the tick size is larger. Further, while inside quoted depth in the LOB always decreases when a DP is introduced, quoted spreads can narrow for liquid stocks and widen for illiquid stocks. Finally, when .ash orders provide select traders with information about the state of the DP, we show that more orders migrate from the LOB to the DP.