Economics at your fingertips  

Trading on the Floor after Sweeping the Book

Vassilis Polimenis

Papers from

Abstract: Informed traders need to trade fast in order to profit from their private information before it becomes public. Fast electronic markets provide such liquidity. Slow markets provide execution in an auction based trading floor. Hybrid markets combine both execution venues. In its main result, the paper shows that to compensate for their slow and risky executions, trading floors need to be at least twice as deep as the sweeping facility. Furthermore, when a stand-alone trading floor is enhanced with the addition of a sweeping facility, overall informed trading will decline because it is easier for informed traders to extract the full value of their private info.

Date: 2020-01
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc

Published in Review of Futures Markets, 2006, vol. 14(4), pp. 451-459

Downloads: (external link) Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2024-04-09
Handle: RePEc:arx:papers:2001.06445