A network map of information percolation

When the trading of a security is fragmented across exchanges, MTFs, and dark pools, the prices at different markets co-move almost instantaneously. Almost. What happens in the time span specified as almost instantaneous? Once new information appears at one market, how does it spread to the other markets trading the same security? Information percolation describes how information spreads… Continue reading A network map of information percolation


I am a Professor of Finance at Stockholm Business School, Stockholm University, doing research on financial market microstructure, with applications to asset pricing, financial econometrics, and liquidity measurement.