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The impact of a pro‐rata algorithm on liquidity: Evidence from the NYSE LIFFE

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  • Andrew Lepone
  • Jin Young Yang

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  • Andrew Lepone & Jin Young Yang, 2012. "The impact of a pro‐rata algorithm on liquidity: Evidence from the NYSE LIFFE," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(7), pages 660-682, July.
    • Handle: RePEc:wly:jfutmk:v:32:y:2012:i:7:p:660-682
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    Cited by:

    1. Haynes, Richard & Onur, Esen, 2020. "Precedence rules in matching algorithms," Journal of Commodity Markets, Elsevier, vol. 19(C).
    2. Stephen N. Jurich, 2020. "Size Precedence And Share Volume: The Case Of The Psx Exchange," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-28, December.
    3. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.
    4. Degryse, Hans & Karagiannis, Nikolaos, 2019. "Priority Rules," CEPR Discussion Papers 14127, C.E.P.R. Discussion Papers.
    5. Xiaoyang Wang & Philip Garcia & Scott H. Irwin, 2014. "The Behavior of Bid-Ask Spreads in the Electronically-Traded Corn Futures Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 96(2), pages 557-577.

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