Opinion & Policy
Policy and industry research on European equity market structure and market design.
with Carole Comerton-Forde
This paper examines order submission and price formation during the London Stock Exchange
closing pre-auction for FTSE 100 stocks. We document strategic timing: activity clusters at the opening
and final minute, peaking about 30 seconds before uncrossing. Traders rely predominantly on limit orders,
prioritising price control over execution certainty, while market order use rises on index rebalancing
days when execution urgency is greatest. Rebalance days exhibit higher volumes, larger and more
persistent imbalances, and more volatile indicative prices that converge more slowly to final auction
prices. Overall, the auction design appears to support orderly price formation through transparency and
randomised timing.
with Carole Comerton-Forde
This paper is the second in a two-paper series evaluating order book quality and price
formation in three European markets. This paper evaluates price formation on listing exchanges and the
largest pan-European lit venues (Aquis, Cboe, Turquoise) for main-index stocks in France, Germany, and
the U.K. Using BMLL data, we find listing exchanges and Cboe are similarly present at the EBBO but differ
in how often they improve it: Euronext Paris and the London Stock Exchange set new EBBO prices far more
frequently than other venues, while in Germany, Xetra improves the EBBO less often than Aquis and Cboe.
Applying Hasbrouck's (1995) Information Share, Euronext and LSE contribute more to price discovery than
other lit venues when using both trades and quotes. In Germany, Xetra leads price discovery when measured
with trades but lags other lit venues when measured with quotes.
with Carole Comerton-Forde
This paper is the first in a two-paper series evaluating order book quality and price
formation in three European markets. We evaluate order-book quality — liquidity and order dynamics — on
listing exchanges and the three largest pan-European lit venues (Aquis, Cboe, Turquoise) for main-index
stocks in France, Germany, and the U.K., using BMLL data. Liquidity varies by measure and country, but
listing exchanges consistently show the narrowest quoted spreads and largest top-of-book depth. In
France, Cboe delivers faster execution, lower order-to-trade ratios, and higher execution and fill rates,
with no significant difference from Euronext in order duration. Germany shows a similar pattern, except
Cboe has longer order durations than Xetra. In the U.K., the London Stock Exchange outperforms other lit
venues on speed, order duration, and fill rates, and is statistically indistinguishable from Cboe on
execution rates and order-to-trade ratios.
with Carole Comerton-Forde
This paper reviews the academic literature on speed bumps. This evidence shows that
implementing a speed bump benefits the exchange instituting it — enhancing competition at the top of its
order book and reducing its quoted and effective spreads. However, the impact of speed bumps on overall
market quality is less clear and remains a subject of debate.
with Carole Comerton-Forde
This paper examines end-of-day trading mechanisms in European equity markets. It shows
that closing mechanisms account for around 18% of consolidated Euro volume in STOXX 600 stocks from
January 2021 to September 2022. Alternative trading mechanisms that have emerged to compete with the
primary market auctions only capture around 16% of this activity. The paper also explores the
determinants of the exchange and alternative closing mechanism volumes. It also discusses the reasons
behind the limited adoption of alternative closing mechanisms despite offering lower trading fees. These
include differing perspectives of market participants about the potential impact of fragmentation at the
close, the ability to capture the benefits of lower fees, and differences in the market structure of the
mechanisms.
with Carole Comerton-Forde
European market operators offer diverse retail trading mechanisms: retail-specific and
all-to-all trading mechanisms that allow the interaction of all trader types. This paper examines
retail-specific trading mechanisms available in European equity markets. It documents the features of
these trading mechanisms and the level of activity over the period from January 2019 to July 2022. It
also draws on the existing academic literature to gain insights into the mechanisms likely to lead to the
best outcomes for retail investors. The paper also recommends that policy makers can improve retail
execution quality by requiring additional transparency around retail trades and implementing a
consolidated tape.
Upcoming Papers
This study analyses IPOs of ordinary/common shares between 2010 and 2024 on the main
markets in the United Kingdom, France, Germany, the Netherlands, and the United States. The objective is
to provide a cross-country overview of where, when, and in what form new public equity is raised, with a
focus on issuer size and the GICS sector mix.
This paper examines the evolution of addressable liquidity in the post–MiFID II period,
focusing on stocks in the main indices in the United Kingdom, France, and Sweden.