Automation, speed, and stock market quality: The NYSE's Hybrid
Tài liệu tham khảo
Alizadeh, 2002, Range-based estimation of stochastic volatility models, Journal of Finance, 57, 1047, 10.1111/1540-6261.00454
Back, 2007, Working orders in limit-order markets and floor exchanges, Journal of Finance, 62, 1589, 10.1111/j.1540-6261.2007.01252.x
Barclay, 2003, Price discovery and trading after hours, Review of Financial Studies, 16, 1041, 10.1093/rfs/hhg030
Barclay, 2003, Competition among trading venues: information and trading on electronic communication networks, Journal of Finance, 58, 2637, 10.1046/j.1540-6261.2003.00618.x
Baruch, 2005, Who benefits from an open limit-order book?, Journal of Business, 78, 1267, 10.1086/430860
Battalio, 2007, Reputation effects in trading on the New York Stock Exchange, Journal of Finance, 62, 1243, 10.1111/j.1540-6261.2007.01235.x
Battalio, 2003, All else equal? A multi-dimensional analysis of retail market order execution quality, Journal of Financial Markets, 6, 143, 10.1016/S1386-4181(02)00043-5
Benveniste, 1992, What's so special about the specialist?, Journal of Financial Economics, 32, 61, 10.1016/0304-405X(92)90025-S
Bessembinder, 2003, Issues in assessing trade execution costs, Journal of Financial Markets, 6, 233, 10.1016/S1386-4181(02)00064-2
Boehmer, 2005, Dimensions of execution quality: recent evidence for U.S. equity markets, Journal of Financial Economics, 78, 463, 10.1016/j.jfineco.2004.11.002
Boehmer, 2007, Public disclosure and private decisions: equity market execution quality and order routing, Review of Financial Studies, 20, 315, 10.1093/rfs/hhl011
Boehmer, 2009, Institutional investors and the informational efficiency of prices, Review of Financial Studies, 22, 3563, 10.1093/rfs/hhp028
Boehmer, 2005, Lifting the veil: an analysis of pre-trade transparency at the NYSE, Journal of Finance, 60, 783, 10.1111/j.1540-6261.2005.00746.x
Bunge, J., 2009. NYSE adjusts charges in bid to draw traders. Wall Street Journal, February 3, C5.
Chan, 1993, Bid-ask spread and market structure, Financial Analysts Journal, 57, 10.2469/faj.v49.n4.57
Foucault, 2005, Limit order book as a market for liquidity, Review of Financial Studies, 18, 1171, 10.1093/rfs/hhi029
Foucault, 2003, Market making with costly monitoring: an analysis of the SOES controversy, Review of Financial Studies, 16, 345, 10.1093/rfs/hhg005
Glosten, 1989, Insider trading, liquidity, and the role of the monopolist specialist, Journal of Business, 62, 211, 10.1086/296460
Goettler, 2009, Informed traders and limit order markets, Journal of Financial Economics, 93, 67, 10.1016/j.jfineco.2008.08.002
Handa, 2004, The economic value of a trading floor: evidence from the American Stock Exchange, Journal of Business, 77, 331, 10.1086/381279
Harris, 1996, Market vs. limit orders: the SuperDOT evidence on order submission strategy, Journal of Financial and Quantitative Analysis, 31, 213, 10.2307/2331180
Hasbrouck, 1991, Measuring the information content of stock trades, Journal of Finance, 46, 179, 10.2307/2328693
Hasbrouck, 1991, The summary informativeness of stock trades: an econometric analysis, Review of Financial Studies, 4, 571, 10.1093/rfs/4.3.571
Hasbrouck, 1993, Assessing the quality of a security market: a new approach to transaction-cost measurement, Review of Financial Studies, 6, 191, 10.1093/rfs/6.1.191
Hasbrouck, 1993, The trades of market-makers: an analysis of NYSE specialists, Journal of Finance, 48, 1565, 10.2307/2329060
Jain, 2005, Financial market design and the equity premium: electronic versus floor trading, Journal of Finance, 60, 2955, 10.1111/j.1540-6261.2005.00822.x
Jones, 1994, Information, trading, and volatility, Journal of Financial Economics, 36, 127, 10.1016/0304-405X(94)90032-9
Keynes, 1936
Leach, 1993, Price experimentation and security market structure, Review of Financial Studies, 6, 375, 10.1093/rfs/6.2.375
Lee, 1991, Inferring trade direction from intraday data, Journal of Finance, 46, 733, 10.2307/2328845
Madhavan, 1997, In search of liquidity: block trades in the upstairs and downstairs markets, Review of Financial Studies, 10, 175, 10.1093/rfs/10.1.175
Madhavan, 1993, An analysis of daily changes in specialist inventories and quotations, Journal of Finance, 48, 1595, 10.2307/2329061
Moulton, P., 2006. Who trades with whom? Cornell University Working Paper.
NYSE Group, 2006a. Hybrid Market training program. Booklet available online at: 〈https://www.nyse.com/pdfs/hm_booklet.pdf〉.
NYSE Group, 2006b. NYSE Hybrid FAQ. Document available online at: 〈http://exchanges.nyse.com/archives/2006/09/faqs_updated.php〉.
NYSE Group, 2007. NYSE completes Hybrid Market phase III activation. Press release available online at: 〈http://www.nyse.com/pdfs/HybridPhaseIV1.24.07.pdf〉.
Pastor, 2003, Liquidity risk and expected stock returns, Journal of Political Economy, 111, 642, 10.1086/374184
Rosu, 2009, A dynamic model of the limit order book, Review of Financial Studies, 22, 4601, 10.1093/rfs/hhp011
The Economist, 2007a. Marketplaces on the move, September 13.
The Economist, 2007b. Ahead of the tape, June 21.
Thompson, 2011, Simple formulas for standard errors that cluster by both firm and time, Journal of Financial Economics, 99, 1, 10.1016/j.jfineco.2010.08.016
Tobin, 1969, A general equilibrium approach to monetary theory, Journal of Money, Credit and Banking, 1, 15, 10.2307/1991374
Venkataraman, 2001, Automated versus floor trading: an analysis of execution costs on the Paris and New York Exchanges, Journal of Finance, 56, 1445, 10.1111/0022-1082.00375