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Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts

Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB... Futures contracts have been bought and sold by “open outcry” on exchange floors since the birth of futures markets in the 19th century. Over the past decade, however, several exchanges have introduced computerized markets. In some cases, the computerized trading systems are designed to supplement open outcry by extending trading hours; examples include GLOBEX, the London International Financial Futures Exchange’s (LIFFE) Automated Pit Trading System (APT), and the New York Mercantile Exchange’s Access system. In other cases, such as the Swiss Options and Financial Futures Exchange (SOFFEX) and the Deutsche Terminborse (DTB), all trading is conducted on the computerized systern. Computerized trading is substantially different from open outcry. This raises the question: Which mechanism is the most efficient way to trade futures contracts? Since one of the most important attributes of an efficient trading mechanism is liquidity, an answer to this question requires a comparison of the liquidity of open outcry and computerized Craig Pirrong is an Assistant Professor o Finance at Washington University, St. Louis. f The Journal of Futures Markets, Vol. 16, No. 5,519-543 (1996) 0 1996 by John Wiley & Sons, Inc. CCC 0270-731 4/96/050519-25 Plrrona trading systems. This article presents the results of just http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Futures Markets Wiley

Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts

The Journal of Futures Markets , Volume 16 (5) – Aug 1, 1996

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References (32)

Publisher
Wiley
Copyright
Copyright © 1996 John Wiley & Sons, Inc.
ISSN
0270-7314
eISSN
1096-9934
DOI
10.1002/(SICI)1096-9934(199608)16:5<519::AID-FUT2>3.0.CO;2-J
Publisher site
See Article on Publisher Site

Abstract

Futures contracts have been bought and sold by “open outcry” on exchange floors since the birth of futures markets in the 19th century. Over the past decade, however, several exchanges have introduced computerized markets. In some cases, the computerized trading systems are designed to supplement open outcry by extending trading hours; examples include GLOBEX, the London International Financial Futures Exchange’s (LIFFE) Automated Pit Trading System (APT), and the New York Mercantile Exchange’s Access system. In other cases, such as the Swiss Options and Financial Futures Exchange (SOFFEX) and the Deutsche Terminborse (DTB), all trading is conducted on the computerized systern. Computerized trading is substantially different from open outcry. This raises the question: Which mechanism is the most efficient way to trade futures contracts? Since one of the most important attributes of an efficient trading mechanism is liquidity, an answer to this question requires a comparison of the liquidity of open outcry and computerized Craig Pirrong is an Assistant Professor o Finance at Washington University, St. Louis. f The Journal of Futures Markets, Vol. 16, No. 5,519-543 (1996) 0 1996 by John Wiley & Sons, Inc. CCC 0270-731 4/96/050519-25 Plrrona trading systems. This article presents the results of just

Journal

The Journal of Futures MarketsWiley

Published: Aug 1, 1996

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