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A GARCH analysis of dark-pool trades

Abstract : 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 forecast
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Contributor : Philippe de Peretti Connect in order to contact the contributor
Submitted on : Monday, April 28, 2014 - 7:19:32 PM
Last modification on : Wednesday, August 31, 2022 - 2:31:12 PM
Long-term archiving on: : Monday, July 28, 2014 - 12:16:52 PM


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  • HAL Id : hal-00984834, version 1



Philippe de Peretti, Oren Tapiero. A GARCH analysis of dark-pool trades. Comment la régulation financière peut-elle sortir l'Europe de la crise ?, Ecole nationale d'administration, pp.161-182, 2014. ⟨hal-00984834⟩



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