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Floor versus electronic trading of government bond futures

Record type: Monograph (Project Report)

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.

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Citation

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).

More information

Published date: 2003
Keywords: electronic trading, price clustering, trading costs, trade size

Identifiers

Local EPrints ID: 36539
URI: http://eprints.soton.ac.uk/id/eprint/36539
PURE UUID: 53aa0db8-2a91-4864-ab7e-0548f27bb0fc

Catalogue record

Date deposited: 21 May 2007
Last modified: 17 Jul 2017 15:44

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Contributors

Author: Owain ap Gwilym
Author: Ian McManus
Author: Stephen Thomas

University divisions

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