Diving into dark pools
研究了2009年和2020年美国股票的暗池交易，发现暗池交易在低成交量、高波动和市场压力时减少，且对大盘股和小盘股的影响不同，暗池交易在2009年改善了价差，但在2020年损害了大盘股的市场质量。
Abstract 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.