Optimal Allocation Strategies for the Dark Pool Problem

We study the problem of allocating stocks to dark pools. We propose and analyze an optimal approach for allocations, if continuous-valued allocations are allowed. We also propose a modification for the case when only integer-valued allocations are possible. We extend the previous work on this problem to adversarial scenarios, while also improving on their results in the iid setup. The resulting algorithms are efficient, and perform well in simulations under stochastic and adversarial inputs

Do Dark Pools Harm Price Discovery?

Dark pools are equity trading systems that do not publicly display orders. Dark pools offer potential price improvements but do not guarantee execution. Informed traders tend to trade in the same direction, crowd on the heavy side of the market, and face a higher execution risk in the dark pool, relative to uninformed traders. Consequently, exchanges are more attractive to informed traders, and dark pools are more attractive to uninformed traders. Under certain conditions, adding a dark pool alongside an exchange concentrates price-relevant information into the exchange and improves price discovery. Improved price discovery coincides with reduced exchange liquidity

Simultaneous Trading in 'Lit' and Dark Pools

We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for the best bid price and the market spread, both modelled by L\'evy processes. Effects on the best bid price arising from the arrival of limit buy orders at more favourable prices, the incoming market sell orders potentially walking the book, and deriving from the cancellations of limit sell orders at the best ask price are incorporated in the proposed price dynamics. A permanent impact that occurs when 'lit' pool trades cannot be avoided is built in, and an instantaneous impact that models the slippage, to which all 'lit' exchange trades are subject, is also considered. We assume that the trading price in the dark pool is the mid-price and that no fees are due for posting orders. We allow for partial trade executions in the dark pool, and we find the optimal trading strategy in both venues. Since the mid-price is taken from the exchange, the dynamics of the limit order book also affects the optimal allocation of shares in the dark pool. We propose a general objective function and we show that, subject to suitable technical conditions, the value function can be characterised by the unique continuous viscosity solution to the associated partial integro differential equation. We present two explicit examples of the price and the spread models, and derive the associated optimal trading strategy numerically. We discuss the various degrees of the agent's risk aversion and further show that roundtrips, i.e. posting the remaining inventory in the dark pool at every point in time, are not necessarily beneficial

A GARCH analysis of dark-pool trades

The ability to trade in dark-pools without publicly announcing trading orders, concerns regulators and market participants alike. This paper analyzes the information contribution of dark trades to the intraday volatility process. The analysis is conducted by performing a GARCH estimation framework where errors follow the generalized error distribution (GED) and two different proxies for dark trading activity are separately included in the volatility equation. Results indicate that dark trades convey important information on the intraday volatility process. Furthermore, the results highlight the superiority of the proportion of dark trades relative to the proportion of dark volume in affecting the one-step-ahead density forecas

Mercury inhibits the non-photochemical reduction of plastoquinone by exogenous NADPH and NADH: evidence from measurements of the polyphasic chlorophyll a fluorescence rise in spinach chloroplasts

Chlorophyll a fluorescence rise kinetics (from 50 μs to 1 s) were used to investigate the non-photochemical reduction of the plastoquinone (PQ) pool in osmotically broken spinach chloroplasts (Spinacia oleracea L.). Incubation of the chloroplasts in the presence of exogenous NADPH or NADH resulted in significant changes in the shape of the fluorescence transient reflecting an NAD(P)H-dependent accumulation of reduced PQ in the dark, with an extent depending on the concentration of NAD(P)H and the availability of oxygen; the dark reduction of the PQ pool was saturated at lower NAD(P)H concentrations and reached a higher level when the incubation took place under anaerobic conditions than when it occurred under aerobic conditions. Under both conditions NADPH was more effective than NADH in reducing PQ, however only at sub-saturating concentrations. Neither antimycin A nor rotenone were found to alter the effect of NAD(P)H. The addition of mercury chloride to the chloroplast suspension decreased the NAD(P)H-dependent dark reduction of the PQ pool, with the full inhibition requiring higher mercury concentrations under anaerobic than under aerobic conditions. This is the first time that this inhibitory role of mercury is reported for higher plants. The results demonstrate that in the dark the redox state of the PQ pool is regulated by the reduction of PQ via a mercury-sensitive NAD(P)H-PQ oxidoreductase and the reoxidation of reduced PQ by an O2-dependent pathway, thus providing additional evidence for the existence of a chlororespiratory electron transport chain in higher plant chloroplast