Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Derivatives
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

An Empirical Analysis of Price and Time Priority and Pro Rata Trade Execution Algorithms in Screen-Traded Markets

Alex Frino, Amelia Hill and Elvis Jarnecic
The Journal of Derivatives Summer 2000, 7 (4) 41-48; DOI: https://doi.org/10.3905/jod.2000.319139
Alex Frino
An associate professor in the department of finance at the University of Sydney in Sydney, Australia.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Amelia Hill
A doctoral student in the department of finance at the University of Sydney.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Elvis Jarnecic
A lecturer in the department of finance at the University of Sydney.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

One of the biggest issues in futures markets today is the introduction and proliferation of all-electronic exchanges and the procedures they will adopt for trading. This article looks at the impact of a 1998 change in trading procedures for Eurodollar futures on the Globex2 system used for after-hours trading by the Chicago Mercantile Exchange. The original system, which maintained price and time priority for limit orders on the book, was replaced by one with pro rata allocation for all orders at the same price, regardless of time arrival. The existence of the regular hours open outcry system operating without change during the same time period provides a control sample against which the behavior of Globex2 prices in the two different regimes can be compared. The results suggests that the change in the trading algorithm had no significant effect on the bid-ask spread or on the volatility in this market.

  • © 2000 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Derivatives
Vol. 7, Issue 4
Summer 2000
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Derivatives.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
An Empirical Analysis of Price and Time Priority and Pro Rata Trade Execution Algorithms in Screen-Traded Markets
(Your Name) has sent you a message from The Journal of Derivatives
(Your Name) thought you would like to see the The Journal of Derivatives web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
An Empirical Analysis of Price and Time Priority and Pro Rata Trade Execution Algorithms in Screen-Traded Markets
Alex Frino, Amelia Hill, Elvis Jarnecic
The Journal of Derivatives May 2000, 7 (4) 41-48; DOI: 10.3905/jod.2000.319139

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
An Empirical Analysis of Price and Time Priority and Pro Rata Trade Execution Algorithms in Screen-Traded Markets
Alex Frino, Amelia Hill, Elvis Jarnecic
The Journal of Derivatives May 2000, 7 (4) 41-48; DOI: 10.3905/jod.2000.319139
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • A Comparison of Markov–Functional and Market Models
  • Price Hedging with Local and Aggregate Quantity Risk
  • Delivery Options and Treasury–Bond Futures Hedge Ratios
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1074-1240 | E-ISSN: 2168-8524

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies