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The mechanics of automated trade execution systems

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  • Domowitz, Ian

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Intermediation.

Volume (Year): 1 (1990)
Issue (Month): 2 (June)
Pages: 167-194

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Handle: RePEc:eee:jfinin:v:1:y:1990:i:2:p:167-194

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Web page: http://www.elsevier.com/locate/inca/622875

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Cited by:
  1. Baye, M.R. & Gillette, A. & De Vries, C.G., 1993. "Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist," Papers 10-93-10a, Pennsylvania State - Department of Economics.
  2. Chow, Edward H. & Lee, Jie-Haun & Shyy, Gang, 1996. "Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1695-1713, December.
  3. Rosita P. Chang & Shuh-Tzy Hsu & Nai-Kuan Huang & S. Ghon Rhee, 1999. "The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 137-170.
  4. repec:att:wimass:9719 is not listed on IDEAS
  5. Antonio Scalia & Valerio Vacca, 1999. "Does Market Transparency Matter? a Case Study," Temi di discussione (Economic working papers) 359, Bank of Italy, Economic Research and International Relations Area.
  6. Fung, Joseph K.W. & Lien, Donald & Tse, Yiuman & Tse, Yiu Kuen, 2005. "Effects of electronic trading on the Hang Seng Index futures market," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 415-425.
  7. Abrache, Jawad & Crainic, Teodor Gabriel & Gendreau, Michel, 2005. "Models for bundle trading in financial markets," European Journal of Operational Research, Elsevier, vol. 160(1), pages 88-105, January.
  8. Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc.
  9. Blennerhassett, Michael & Bowman, Robert G., 1998. "A change in market microstructure: the switch to electronic screen trading on the New Zealand stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 261-276, December.
  10. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
  11. Marie Corriveau & Robert Gérin-Lajoie, 1997. "L'Architecture Informatique des Marchés Intelligents," CIRANO Project Reports 1997rp-04, CIRANO.
  12. Bollerslev, Tim & Domowitz, Ian & Wang, Jianxin, 1997. "Order flow and the bid-ask spread: An empirical probability model of screen-based trading," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1471-1491, June.
  13. Pardy, Robert, 1992. "Regulatory and institutional impacts of securities market computerization," Policy Research Working Paper Series 866, The World Bank.
  14. Kempf, Alexander & Korn, Olaf, 1998. "Trading System and Market Integration," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 220-239, July.

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