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The mechanics of automated trade execution systems

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References

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Cited by

1999The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange48 cited
2001Open Sesame: Alternative Opening Algorithms in Securities Markets41 cited
1998A change in market microstructure: the switch to electronic screen trading on the New Zealand stock exchange40 cited
1992Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications36 cited
1998Trading System and Market Integration35 cited
1996The non-market preconditions of electronic markets: implications for their evolution and applicability34 cited
2000Some Econometric Recipes for High-Frequency Data Cooking33 cited
1997Order flow and the bid-ask spread: An empirical probability model of screen-based trading32 cited
1992The Microstructure of Asian Equity Markets32 cited
2001Why Do Markets Fragment? A Panel-Data Analysis of Off-Exchange Trading

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29 cited

2002The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation27 cited

1993The microstructure of Asian equity markets26 cited

2000Market Efficiency in Specialist Markets Before and After Automation25 cited

1993Automating the price discovery process: Some international comparisons and regulatory implications25 cited

1993Equally open and competitive: Regulatory approval of automated trade execution in the futures markets18 cited