All else equal?: a multidimensional analysis of retail, market order execution quality

Battalio, Robert H.; Hatch, Brian; Jennings, Robert H.

doi:10.1016/s1386-4181(02)00043-5

Cited by 46 publications

(31 citation statements)

References 16 publications

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“…Although a number of articles examine execution speed in equity markets (e.g., Bacidore, Ross, & Sofianos, 2003;Battalio, Hatch, & Jennings, 2003), the author knows of no study that has looked at the order turnaround time in open-outcry futures markets. It is interesting to examine execution speed in open-outcry futures markets, because the microstructure of these markets differs substantially from microstructure of equity markets.…”

Section: Turnaround Time For Different Types Of Customer Ordersmentioning

confidence: 99%

“…At the same time, higher price volatility seems to reduce the probability of limit-order submissions. Although traders strategically choose the order type depending on 1 Studies of execution costs and execution quality in equity markets (e.g., Bacidore, Ross, & Sofianos, 2003;Battalio, Hatch, & Jennings, 2003;Harris & Hasbrouck, 1996;Werner, 2003) separately examine market and limit orders, with most studies focusing on execution quality for market orders. market conditions, other factors also affect the order choice.…”

Section: Introductionmentioning

confidence: 99%

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Execution quality in open-outcry futures markets

Kurov

2005

J. Fut. Mark.

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This study examines the composition of customer order flow and the execution quality for different types of customer orders in six futures pits of the Chicago Mercantile Exchange (CME). It is shown that off-exchange customers frequently provide liquidity to other traders by submitting limit orders. The determinants of customers' choice between limit and market orders are examined, and it is found that higher bid-ask spreads increase the limit-order submission frequency, and increased price volatility makes limit-order submission less likely. Effective spreads, trading revenues, and turnaround times for customer liquidity-demanding and limit orders are also documented. Consistent with evidence from equity markets, the results show that limit-order traders receive better executions than traders using liquidity-demanding orders, but incur adverse selection costs.

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Section: Turnaround Time For Different Types Of Customer Ordersmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Execution quality in open-outcry futures markets

Kurov

2005

J. Fut. Mark.

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“…2 However, theoretical models of limit order books and liquidity provision offer ambiguous predictions regarding the impact of automation and speed. Existing literature compares speed across market structures (Battalio, Hatch, and Jennings, 2003;Boehmer, 2005) and levels of automation across market structures (e.g., Venkataraman, 2001). However, it is difficult to control for all differences across markets.…”

Section: Introductionmentioning

confidence: 99%

Automation, speed, and stock market quality: The NYSE's Hybrid

Hendershott

Moulton

2011

Journal of Financial Markets

264

115

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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 2006 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.

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“…According to Battalio, Hatch, and Jennings (2003), Boehmer (2005), and Boehmer, Jennings and Wei (2007), studies of market quality should consider execution speed in conjunction with execution costs. We therefore conduct an investigation of times between order receipt and order execution using data from Dash 5 reports.…”

mentioning

confidence: 99%