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.

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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
Collection: School of Accounting, Economics and Finance
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