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Unpublished Paper
Who Trades With Whom, and When?
Working Papers
  • Pamela Moulton, Cornell University School of Hotel Administration
Publication Date
6-9-2006
Abstract

This paper examines empirically how market participants meet on the NYSE to form trades. Pure floor trades, involving only floor brokers and the specialist, account for only 4% of trading volume in the average stock, while pure system trades, involving only orders submitted electronically, account for 50% and floor and system interaction trades account for 46% of trading volume in the average stock. Market quality analysis reveals that pure system trades involving automatic execution are the most informative, while floor- initiated interaction trades also have high information content. This study offers insight into how market design affects the interaction of liquidity supply and demand and resulting market quality.

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Citation Information

Moulton, P. C. (2006). Who trades with whom, and when? [Electronic version]. Retrieved [insert date], from Cornell University, SHA School site: http://www.scholarship.sha.cornell.edu/workingpapers/1