2009 September 07

Jours fixes take place on the first monday of the month, starting at 5:00 p.m., in the House of Finance (Campus Westend).

[Michael Chlistalla, E-Finance Lab]

The Markets in Financial Instruments Directive (MiFID) allows for more competition among equity trading venues, in particular as it abolishes existing concentration rules that formerly required equity orders up to a certain size to be executed on national exchanges. These changes give new market entrants the opportunity to establish themselves as alternatives to existent execution venues. A number of new execution venues could be observed since MiFID's November 2007 applicability date.

This Jour Fixe presentation focuses on an empirical market data study conducted by members of cluster 5 in which the liquidity contribution of Chi-X is analyzed by measuring implicit trading costs on the new venue benchmarked against i) a sample of matched stocks and ii) European base liquidity.