TY - JOUR T1 - Dark Pools, Fragmented Markets, and the Quality of Price Discovery JF - The Journal of Trading SP - 17 LP - 22 DO - 10.3905/JOT.2010.5.2.017 VL - 5 IS - 2 AU - Robert A Schwartz Y1 - 2010/03/31 UR - https://pm-research.com/content/5/2/17.abstract N2 - Dark pools and fragmented equity markets may both appear threatening to the quality of price discovery, but this article suggests that fragmentation is the more serious of the two. Large orders have always required some darkness, and while the term “dark pool” is new, the reality is not. On the other hand, fragmentation, both spatial and temporal, is a threat to price discovery. Empirical evidence summarized in this article suggests that the widely observed accentuation of intra-day price volatility is largely attributable to the vagaries of price discovery. The authors suggest that accurate price discovery be moved to center stage as a regulatory objective.TOPICS: Volatility measures, exchanges/markets/clearinghouses, statistical methods ER -