The US equities market is fragmented, with dozens of dark pools and exchanges offering hidden order types. Each operator finds something to love in its own pool, but skeptical observers have questioned how much unique liquidity, or unique value of any kind, the proverbial 31st dark pool really provides.
To begin to address this question, we analyzed correlations in midpoint liquidity across two dozen trading venues. If everyone effectively has access to all the dark pools—either
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