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Time Pro-rata Matching: Evidence of a Change in LIFFE STIR Futures

  • Published:2015-01-12 Issue:6 Volume:35 Page:522-541
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Aspris Angelo1,Foley Sean1,Harris Drew2,O'Neill Peter2

Affiliation:

1. Angelo Aspris and Sean Foley are at the University of Sydney Business School; Sydney Australia

2. Drew Harris and Peter O'Neill are at the University of New South Wales Business School; Kensington NSW Australia

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference17 articles.

1. Price formation and liquidity surrounding large trades in interest rate and equity index futures;Aspris;Review of Futures Markets,2009

2. Budish , E. Cramton , P. Shim , J. 2013 6 http://faculty.chicagobooth.edu/eric.budish/research/HFT-FrequentBatchAuctions.pdf

3. Information effects on the Bid-Ask Spread;Copeland;The Journal of Finance,1983

4. Field , J. Large , J. 2008 http://www.econstor.eu/handle/10419/43239

5. Order flow composition and trading costs in a dynamic limit order market;Foucault;Journal of Financial Markets,1999

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