Floor trading and screen trading : distinctions for practitioners

Chng, Michael T. 2005, Floor trading and screen trading : distinctions for practitioners, Corporate finance review, vol. 9, no. 6, May - June, pp. 5-18.

Attached Files
Name Description MIMEType Size Downloads

Title Floor trading and screen trading : distinctions for practitioners
Author(s) Chng, Michael T.
Journal name Corporate finance review
Volume number 9
Issue number 6
Season May - June
Start page 5
End page 18
Publisher W G & L Financial Reporting & Management Research
Place of publication New York, N.Y.
Publication date 2005-05
ISSN 1089-327X
Summary The creation of an electronic limit order book is discussed as the basis for distinguishing between the floor trading and screen trading of derivative instruments. Distinguishing between FTP and ETP in terms of market transparency allows investors to contemplate the trade-off between the 2 platforms. Distinguishing between FTP and ETP in terms of memory preservation allows practitioners to contemplate the different experiences when analyzing floor data and screen data. A comparable set of floor and screen data is used to examine the impact on the trading dynamics and price discovery of LIFFE's FTSE 100 index futures market when trading is automated on LIFFE CONNECT. The dynamics in the quote change equation is shortened when moving from the floor to screen sample. Using the model's measure of trade informativeness, it is found that in 4 out of 5 daily sub-samples, screen trades are more than twice as informative as floor trades. Variability within a system of equations is explained more by order size history than trade size history.
Language eng
Field of Research 140299 Applied Economics not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30021894

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
Connect to link resolver
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 0 times in TR Web of Science
Scopus Citation Count Cited 0 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 608 Abstract Views, 0 File Downloads  -  Detailed Statistics
Created: Mon, 18 Jan 2010, 11:01:27 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.