Floor versus electronic trading of government bond futures
ap Gwilym, Owain, McManus, Ian and Thomas, Stephen (2003) Floor versus electronic trading of government bond futures. Aberystwyth, Wales, University of Wales, 41pp. (Research Paper, (2003-5) ).
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Description/Abstract
This paper analyses the impact of a transition from open outcry to electronic trading in the
UK Long Gilt futures market. Price clustering behaviour is not materially affected, but there
is an increased concentration of large trades at more popular prices. After automation,
narrower bid-ask spreads tend to be associated with relatively smaller trades. There is a
substantial reduction in mean trade size as reduced-depth orders become trades. The mean
daily number of transactions and quotations increases substantially, which is entirely
consistent with static volumes and decreased mean trade size. Bid-ask spreads widen
significantly after automation, which is largely accounted for by the finding that spreads
under electronic systems demonstrate an increased sensitivity to price volatility. This effect is
accentuated by increased volatility after automation.
| Item Type: | Monograph (UNSPECIFIED) |
|---|---|
| Related URLs: | |
| Keywords: | electronic trading, price clustering, trading costs, trade size |
| Subjects: | T Technology > T Technology (General) H Social Sciences > HG Finance |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 36539 |
| Date Deposited: | 21 May 2007 |
| Last Modified: | 02 Mar 2012 13:29 |
| Contributors: | ap Gwilym, Owain (Author) McManus, Ian (Author) Thomas, Stephen (Author) |
| Date: | 2003 |
| Status: | Published |
| Publisher: | University of Wales |
| URI: | http://eprints.soton.ac.uk/id/eprint/36539 |
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