Order book execution

The majority of stocks in Europe are traded on limit order books running continuous double auctions, rather than through negotiation of competing dealer quotes. Although simple in concept, these limit order books are now quite complex ... read more

One of the key pieces of advice given to the novice trader is 'Don't cross the spread'. Yet trades only occur when someone does just that. Consequently, trading on limit order books has become something of an art ... read more

Block trades affect trading on limit order books, but recent research suggests they do so in surprising ways. A working paper examines to what extent block trades reveal information to the market ... read more