OTC Trading: Description of Non-ATS OTC Trading in National Market System Stocks
OTC Trading: Description of Non-ATS OTC Trading in National Market System Stocks
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场外交易：全国市场系统股票非ATS场外交易说明
DOI：
10.2139/ssrn.2412100
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发表时间：
2014
期刊：
影响因子：
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通讯作者：
Laura A. Tuttle
中科院分区：
文献类型：
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作者：
Laura A. Tuttle
本文件提供有关NMS股票的非ATS场外交易的一般资料。处理OTC交易的新闻文章和学术研究往往集中在ATS上，而不是ATS之外发生的场外交易的更大份额。这项研究提供了NMS股票的非ATS OTC交易的一般信息，并揭示了一些程式化的事实。我估计，NMS美元交易量的16.99%（股票交易量的18.75%）在没有ATS参与的情况下执行OTC。我估计我的子样本零售场外交易执行37.23%的美元量（39.93%的股票量）。在我的样本周，255家经纪自营商报告了非ATS OTC交易活动。
This paper provides general information on non-ATS over-the-counter (OTC) trading of NMS stocks. Press articles and academic research dealing with OTC trading tend to focus on ATSs rather than the larger share of off-exchange trading that occurs outside of ATSs This study provides general information on non-ATS OTC trading of NMS stocks and reveals a number of stylized facts. I estimate that 16.99% of NMS dollar volume (18.75% of share volume) executes OTC without the involvement of an ATS. I estimate my subsample of Retail OTC MMs execute 37.23% of this dollar volume (39.93% of share volume). During my sample week, 255 broker-dealers report non-ATS OTC trading activity.