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Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading
16 references·5 citing·46 second hop
Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading (2003)Decreased price clustering in FTSE100 fut…The influence of cultural factors on price clustering: Evidence from Asia–Pacific stock markets (2002)The influence of cultural fac…Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading (2001)Transaction Costs and Market …Do investors prefer round stock prices? Evidence from Israeli IPO auctions (2001)Do investors prefer round sto…Clustering and psychological barriers: the importance of numbers (2001)Clustering and psychological …Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges (2001)Automated Versus Floor Tradin…Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges (2000)Automated Versus Floor Tradin…Price discovery in high and low volatility periods: open outcry versus electronic trading (1998)Price discovery in high and l…Extreme price clustering in the London equity index futures and options markets (1998)Extreme price clustering in t…Clustering and Competition in Asset Markets (1997)Clustering and Competition in…Price clustering on the Australian Stock Exchange (1996)Price clustering on the Austr…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes? (1994)Why Did NASDAQ Market Makers …The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market (1991)The Clustering of Bid/Ask Pri…Stock Price Clustering and Discreteness (1991)Stock Price Clustering and Di…The degree of price resolution: The case of the gold market (1985)The degree of price resolutio…Implications of the Discreteness of Observed Stock Prices (1985)Implications of the Discreten…Investigating price clustering in the oil futures market (2010)Investigating price clusterin…Electronic versus open outcry trading in agricultural commodities futures markets (2010)Electronic versus open outcry…Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets (2008)Tick size reduction, executio…Interest rate clustering in UK financial services markets (2007)Interest rate clustering in U…Price clustering in E‐mini and floor‐traded index futures (2006)Price clustering in E‐mini an…A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Presidential Address: Friction (2000)Price, trade size, and information in securities markets (1987)Price clustering and natural resistance points in the Dutch stock market: A natural experiment (2005)The Cost of Transacting (1968)THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)Competing Mechanisms in a Common Value Environment (2000)Liquidity in Asset Markets With Search Frictions (2009)What happened to the quants in August 2007? Evidence from factors and transactions data (2010)Liquidity and Market Structure (1988)Trading and Exchanges: Market Microstructure for Practitioners (2002)The Determinants of Underpricing for Seasoned Equity Offers (2003)Realized Volatility: A Review (2008)The Strategy of Conflict (1960)On the Estimation of Security Price Volatilities from Historical Data (1980)On the Impossibility of Informationally Efficient Markets (1980)Gold and oil futures markets: Are markets efficient? (2010)The financial economics of gold — A survey (2015)Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices (2020)Asset pricing and the bid-ask spread (1986)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings (1997)Preferencing, Internalization, Best Execution, and Dealer Profits (1999)Signaling Positive Corporate Social Performance (2001)A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Culture and stock price clustering: Evidence from The Peoples' Republic of China (2007)Assessing price clustering in European Carbon Markets (2011)The Behavior of Stock-Market Prices (1965)Measuring security price performance (1980)Estimation of Stock Price Variances and Serial Covariances from Discrete Observations (1990)Market Making with Discrete Prices (1998)High frequency market microstructure noise estimates and liquidity measures (2009)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse (2006)The Value of the Designated Market Maker (2007)Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011)Trading strategies during circuit breakers and extreme market movements (2004)Financial Market Design and the Equity Premium: Electronic versus Floor Trading (2005)Algorithmic Trading and Information (2009)
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References

  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1991Stock Price Clustering and Discreteness576 cited
  • 1994Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?343 cited
  • 1985The degree of price resolution: The case of the gold market246 cited
  • 2001Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges190 cited
  • 1985Implications of the Discreteness of Observed Stock Prices166 cited
  • 2000Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges152 cited
  • 1997Clustering and Competition in Asset Markets147 cited
  • 1996Price clustering on the Australian Stock Exchange108 cited
  • 2001Clustering and psychological barriers: the importance of numbers107 cited
  • 2002The influence of cultural factors on price clustering: Evidence from Asia–Pacific stock markets98 cited
  • 1998Price discovery in high and low volatility periods: open outcry versus electronic trading96 cited
  • 1998Extreme price clustering in the London equity index futures and options markets87 cited
  • 2001Do investors prefer round stock prices? Evidence from Israeli IPO auctions84 cited
  • 1991The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market

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69 cited
  • 2001Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading58 cited
  • Cited by

    • 2010Investigating price clustering in the oil futures market37 cited
    • 2006Price clustering in E‐mini and floor‐traded index futures36 cited
    • 2007Interest rate clustering in UK financial services markets33 cited
    • 2008Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets31 cited
    • 2010Electronic versus open outcry trading in agricultural commodities futures markets29 cited