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Effet des modes de négociation sur les échanges

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  • Christian Gouriéroux
  • Gaëlle Le Fol

Abstract

[fre] The effect of matching procedures on trades. . The trading systems used on financial markets differ in terms of matching procedures, selected norms to write contracts, existence or not of intermediaries to ensure liquidity, market transparency... We are interested in measuring the direct effect on market specifics of a matching procedure modification namely, the matching frequency and the choice of a unique or multiple prices for the contracts concluded simultaneously. [eng] The effect of matching procedures on trades. . The trading systems used on financial markets differ in terms of matching procedures, selected norms to write contracts, existence or not of intermediaries to ensure liquidity, market transparency... We are interested in measuring the direct effect on market specifics of a matching procedure modification namely, the matching frequency and the choice of a unique or multiple prices for the contracts concluded simultaneously.

Suggested Citation

  • Christian Gouriéroux & Gaëlle Le Fol, 1998. "Effet des modes de négociation sur les échanges," Revue Économique, Programme National Persée, vol. 49(3), pages 795-808.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1998_num_49_3_410011
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    1. repec:ipg:wpaper:2013-027 is not listed on IDEAS
    2. Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
    3. Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers hal-04141172, HAL.
    4. repec:ipg:wpaper:27 is not listed on IDEAS
    5. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.

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