18 December 2013

Co-Authors

Justin Schack

Managing Director

Alex Kemmsies

Associate

Andrew Upward

Vice President

Rosenblatt Securities Inc.
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LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

"See the sun go down, it’s going on down, and the night is deep, Want a little light, but who’s gonna save a little light for me?"

—Ezra Koenig, 2013, (“Unbelievers,” from the Vampire Weekend album
“Modern Vampires of the City.”)

Dark-pool market share increased m/m in November as volatility fell to a nearly 7-year low. We estimate that dark pools executed...

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