Frino, Mcinish And Toner-The Liquidity Of Automated Exchanges – New Evidence From German Bund Fut

bookPrevious literature has suggested that automated exchanges such as the Deutsche Terminborse (DTB) may be less liquid than their open-outcry counterparts such as the London International Financial Futures Exchange (LIFFE), although evidence provided on this issue has been mixed. This paper provides new evidence on the relative magnitudes of bid-ask spreads in the Bund contract traded on the DTB and LIFFE using intraday data from a period in which each exchanges share of total Bund trading was closer than previous research. The findings suggest that quoted bid-ask spreads are wider on the LIFFE than the DTB, even after controlling for their determinants. Furthermore, bid-ask spreads on the DTB increase more rapidly as price volatility increases relative to the LIFFE. Overall, thisevidence implies that while automated exchanges are capable of providing more liquidity than floor  traded exchanges, the relative performance of automated exchanges deteriorates during periods of higher volatility. © 1998 Elsevier Science B.V. All rights reserved.

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Foucault, Kadan And Kandel-Limit Order Book As A Market For Liquidity

0.a0aWe develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders differ by their impatience and seek to minimize their trading costs by optimally choosing between market and limit orders. We characterize the equilibrium order placement strategies and the waiting times for limit orders. In equilibrium less patient traders are likely to demand liquidity, more patient traders are more likely to provide it. Wefind that the resiliency of the limit order book increases with the proportion of patient traders and decreases with the order arrival rate. Furthermore, the spread is negatively related to the proportion of patient traders and the order arrival rate. We show that these findings yield testable predictions on the relation between the trading intensity and the spread. Moreover, the model generates predictions for time-series and cross-sectional var iation in the optimal order-submission strategies. Finally, we find that imposing a minimum price variationimproves the resiliency of a limit order market. For this reason, reducing the minimum price variation does not necessarily reduce the average spread in limit order markets.

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Foucault And Lescourret-Information Sharing, Liquidity And Transaction Costs In Floor-Based Trading

bookWe consider informationsharingb etweentraders who possessd irerent typesofinformation,namelyinformationonthe payor ofa riskysec urityor informationon the volume ofliquid itytrad inginthissecurity.We interpret these trad ersasd ual-c apac ity brokersonthe oor ofanexchange.We id entify cond itionsund er w hich the trad ersare better or sharing information.We also show that informationsharing improvespric e disc overy, red uc esvolatility and low ersexpec ted trad ing costs. Informationsharing can improve or impair the d epth ofthe market, depend ing onthe valuesofthe parameters. Overallour analysissuggeststhat informationsharing amongoor b rokersimprovesthe performanc e ofoor-b ased trad ingsystems.

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Foucault And Kadan-Limit Order Book As A Market For Liquidity

0.a0We devel op a dynamic modelof anorder-drivenmarket populated bydiscretionary liquidity traders. These tradersmust trade,yet canchoose the type oforder and are fully strategic in their decision. Traders differ by their impatience: less patient traders are likely to demand liquidity,more patient traders are more likely to provide it.Three equilibrium patterns are obtained the pattern is determined by three parameters: the degree of impatience of the patient traders,which we model as the cost of execution delay in providing liquidity;their proportion in the population,which determines the degree of competition among the liquidity providers;and the tick size,which is the cost of the minimal price improvement.Despite its simplicity,the model generates a rich set of empirical predictions on the relation between market parameters,time to execution,and spreads.We argue that the economic intuition of this model is robust,thus its main results will remain in more general models.

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forex manual

0.ikmForex On-Line Manual for Successful Trading is one of the best Forex books for beginners I’ve encountered recently and it’s now available to be downloaded for free from my site. Although, it’s not concentrating on any specific Forex related concept, this manual describes everything a new trader needs and wants to know — the history of the Forex market, its functions, its features and advantages, the most popular techniques of the market analysis, etc. Download it and read it if you still play with the demo account, but don’t bother with this ebook if you are already making profits. Of course, if you are an experienced trader, but want to know more about the history and other functions of the Forex market, you can go through this manual too….

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forexintro

0.dae RST Capital gives you the flexibility of a sophisticated trading platform that includes spot, options, forwards,and spreads as low as 2 pips. The platform on which you’re about to trade is incredible…

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