Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets

Bortoli, Luke Gareth; Frino, Alex; Jarnecic, Elvis

doi:10.1023/b:fina.0000029658.53325.c8

Cited by 12 publications

(3 citation statements)

References 33 publications

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“…The four most actively traded futures contracts on SYCOM are examined in this study, namely the Share Price Index (SPI), the bank-accepted bill, the three-year bond and ten-year bond futures contracts. Consistent with prior event studies in futures markets, this analysis is confined to daytime trading in the near term contract (e.g., Aitken et al, 2004;Bortoli et al, 2004).…”

Section: Methodsmentioning

confidence: 96%

Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange

Bortoli¹,

Frino

Jarnecic

et al. 2006

Journal of Futures Markets

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This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increased limit order book disclosure from depth at the best bid and ask prices to depth at the three best bid and ask prices is examined. Evidence was found consistent with a change in trading behavior coinciding with the increase in pre-trade transparency. Consistent with predictions of a theoretical model based on execution risk, a statistically significant decline in depth was found at the best quotes. There is little evidence of an increase in bid-ask spreads. Further, the proportion of market orders exceeding depth at the best quotes increases in a transparent limit order book, reflecting a reduction in execution risk. The study concludes that in a transparent market, limit order traders charge market order traders a higher premium for execution certainty by withdrawing depth from the best quotes, but not by increasing bid-ask spreads.

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Section: Methodsmentioning

confidence: 96%

Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange

Bortoli¹,

Frino

Jarnecic

et al. 2006

Journal of Futures Markets

Self Cite

View full text Add to dashboard Cite

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“…Blennerhassett and Bowman (1998) report increased availability of quotes and reduced transaction costs following the automation of the NZX. Similarly, Aitken et al (2004) report reduced bid-ask spreads, and Bortoli et al (2004) find reduced commissions following the automation of the SFE. It is also noteworthy that the electronic limit-order book market has now become the most common market structure across world equities and derivatives markets.…”

Section: Market Typementioning

confidence: 96%

Market microstructure: A review from down under

Berkman

Comerton‐Forde

2010

Accounting &Amp; Finance

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The early automation of the Australian and New Zealand financial markets provided researchers with access to high-frequency data to undertake extensive empirical market microstructure research. We use this anniversary edition of Accounting and Finance to review some of this research and to discuss the development of the Australian and New Zealand markets since their automation. We identify issues currently facing the markets and highlight potential areas for future research. The paper also provides a review of market microstructure theory on inventory control models and asymmetric information models.

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“…Pricing for security transactions is determined in a deregulated and competitive market. It has been experiencing a downward trend driven by the dramatic cost reductions brought by technological innovations such as electronic trading (see Bortoli et al 2004, Levecq and Weber 2002, Stoll 2006, 2008, Weber 1999, 2006). Transaction commissions typically pay for the costs of brokerage, clearing and execution, trading, research, and investment advice before the brokerage firm can make a profit.…”

Section: Pricing and Revenue Managementmentioning

confidence: 99%

Operations in Financial Services—An Overview

Hatzakis

Nair

Pinedo

2010

Production and Operations Management

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We provide an overview of the state of the art in research on operations in financial services. We start by highlighting a number of specific operational features that differentiate financial services from other service industries, and discuss how these features affect the modeling of financial services. We then consider in more detail the various different research areas in financial services, namely systems design, performance analysis and productivity, forecasting, inventory and cash management, waiting line analysis for capacity planning, personnel scheduling, operational risk management, and pricing and revenue management. In the last section, we describe the most promising research directions for the near future.

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Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets

Cited by 12 publications

References 33 publications

Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange

Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange

Market microstructure: A review from down under

Operations in Financial Services—An Overview

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