Automation speed and stock market quality the nyses hybrid

Posted: qweq On: 09.07.2017

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The NYSE's Hybrid Terrence Hendershott and Pamela C. Moulton Journal of Financial Markets , , vol.

"Automation, Speed, and Stock Market Quality: The NYSE’s Hybrid" by Terrence Hendershott

Automation and trading speed are increasingly important aspects of competition among financial markets. Yet we know little about how changing a market's automation and speed affects the cost of immediacy and price discovery, two key dimensions of market quality.

At the end of the New York Stock Exchange introduced its Hybrid Market, increasing automation and reducing the execution time for market orders from 10 seconds to less than one second. We find that the change raises the cost of immediacy bid-ask spreads because of increased adverse selection and reduces the noise in prices, making prices more efficient.

Automation ; Liquidity ; Speed ; Transparency ; Latency ; Adverse ; selection search for similar items in EconPapers Date: View references in EconPapers View complete reference list from CitEc Citations View citations in EconPapers 44 Track citations by RSS feed Downloads: This item may be available elsewhere in EconPapers: Search for items with the same title.

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