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
ePrint ID: 36539
Date Deposited: 21 May 2007
Last Modified: 27 Mar 2014 18:23
URI: http://eprints.soton.ac.uk/id/eprint/36539

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