2023
DOI: 10.1111/ajae.12443
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The end of an era: Who paid the price when the livestock futures pits closed?

Eleni Gousgounis,
Esen Onur

Abstract: This paper evaluates the impact of the Chicago Mercantile Exchange's (CME) decision to close the livestock futures pits on the execution quality of customer orders. Our findings suggest that, prior to its closure, the livestock futures pit offers high immediacy execution and attracts large orders. Because such high immediacy orders generally execute faster and cost more, their migration to the electronic market after the pit closure explains why the execution of electronic orders becomes on average speedier an… Show more

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