We empirically study 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 which are non-members. We find that (i) the volume
distribution of off-book transactions has a significantly fatter tail than the
one of on-book transactions, (ii) groups of members and non-members can be
classified in categories according to their trading profile (iii) there is a
strong anticorrelation between the daily inventory variation of a market member
due to the on-book market transactions and inventory variation due to the
off-book market transactions with non-members, and (iv) the autocorrelation of
the sign of the orders of non-members in the off-book market is slowly
decaying. We also analyze the on-book price impact function over time, both for
positive and negative lags, of the electronic trades and of the off-book
trades. The unconditional impact curves are very different for the electronic
trades and the off-book trades. Moreover there is a small dependence of impact
on the volume for the on-book electronic trades, while the shape and magnitude
of impact function of off-book transactions strongly depend on volume.Comment: 16 pages, 9 figure
