The concept is similar, but the mechanics are slightly different. Making a quarterly payment based on 3-month Libor is fine, but making daily payments of the overnight rate is inconvenient (too much work in the back-office making and checking the payments), so a single payment is made at maturity (or on the annual anniversary of the swap's inception), based ...
A vanilla Interest Rate Swap (IRS) normally refers a swap between a fixed rate and a floating rate. Floating rate being a single fixing for each accrual period and payment.
An overnight indexed swap will have the daily overnight index compounded throughout the accrual period.
Read the Rise of Carry. It'll give a very original and in my opinion correct perspective of what's happened in market and economies in the past 20 years.
It will be nothing like an economics book and more a book grounder on the realities of market structure, central banks, and participant incentives.
I’m by no means an “expert”, though I’ve spent a fair amount of time studying this and writing quant software.
There are three important starting places to study this question, in this order:
1 dark pools ( see https://squeezemetrics.com/monitor/dix )
40% to 60% of large trades are now done in dark pools.
2 the “closing auction” at 4pm
3 the “on balance ...
Let me try to answer. I have worked at an Algo-trading firm that trades equities and have seen how trades are executed at the order book level. Let's say the price of the stock is 100 (last traded price). Let's say the order book is as follows:
Bids: Bid1 = 99 (size = 10,000), Bid2 = 98 (size = 20,000), Bid3 = 97 (size = 25,000), Bid4 = 96 (size = 30,000), ...