Liquidity Fragmentation and Migration within the Same Exchange
Liquidity fragmentation occurs when traders have choices in trading fungible securities. This article documents the migration of Dow futures’ liquidity from the pit to the electronic market. The implied spread declines dramatically for electronic trades as volume increases over a sample period from...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2006
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/774 |
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| Institution: | Singapore Management University |
| Language: | English |