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Futures contracts have been bought and sold by âopen outcryâ 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 Exchangeâs (LIFFE) Automated Pit Trading System (APT), and the New York Mercantile Exchangeâs 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
The Journal of Futures Markets – Wiley
Published: Aug 1, 1996
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