NYSE execution quality subsequent to migration to hybrid |
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Authors: | Jose A Gutierrez Yiuman Tse |
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Institution: | (1) College of Business, The University of Texas at San Antonio, 501 West Durango Blvd, San Antonio, TX 78207, USA |
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Abstract: | In October 2006, the NYSE began rolling-out phase three of a four-phase plan initiate its new Hybrid trading mechanism. The
results show that this new trading platform introduced a much larger proportion of electronic transactions relative to floor
auction transactions. This migration to electronic transactions is further evidenced by a mirror shift in price discovery
from floor trades to trades marked for automatic electronic execution. In addition, the move to Hybrid trading introduced
a significant decrease in inventory control costs, as well as a noticeable increase in trade persistence. Finally, the new
trading platform has increased the speed with which orders are met, and has also decreased the proportion of executed shares
which receive price improvement.
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Keywords: | Hybrid Electronic trading Market quality |
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