Peter O'Neill

Financial Conduct Authority

Chief Economist's Department

25 The North Colonnade

Canary Wharf

London, E14 5HS

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

365

CITATIONS

0

Scholarly Papers (3)

1.

Asymmetries in Dark Pool Reference Prices

FCA Occasional Paper No. 21
Number of pages: 63 Posted: 09 Mar 2017 Last Revised: 05 Apr 2017
Matteo Aquilina, Sean Foley, Peter O'Neill and Thomas Ruf
Financial Conduct Authority, University of Sydney Business School, Financial Conduct Authority and University of New South Wales (UNSW)
Downloads 174 (168,507)

Abstract:

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market data, transparency, high-frequency trading, Market microstructure, latency arbitrage

2.

Fixing the Fix? Assessing the Effectiveness of the 4pm Fix Benchmark

FCA Occasional Paper
Number of pages: 98 Posted: 25 Oct 2018
Georgetown University - Department of Economics, Financial Conduct Authority, BI Norwegian Business School and BI Norwegian Business School
Downloads 167 (174,746)

Abstract:

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benchmark, foreign exchange markets, 4pm fix, market microstructure, transactions-based fixing

3.

Time Pro-Rata Matching: Evidence of a Change in LIFFE STIR Futures

Journal of Futures Markets, Vol. 35(6), p. 522–541, doi:10.1002/fut.21708, June 2015
Number of pages: 35 Posted: 05 Oct 2016 Last Revised: 07 Oct 2016
Angelo Aspris, Sean Foley, Drew Harris and Peter O'Neill
University of Sydney - Discipline of Finance, University of Sydney Business School, University of New South Wales (UNSW) and Financial Conduct Authority
Downloads 24 (487,477)

Abstract:

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Futures, LIFFE, Market Microstructure, Pro-Rata, Price-Time Priority