This research was funded by the Sydney Futures Exchange under Corporations Regulation 7.5.88(2). The authors thank workshop participants at the Business Development Group of the Australian Securities Exchange, and the comments of an anonymous referee.
The impact of a pro-rata algorithm on liquidity: Evidence from the NYSE LIFFE
Article first published online: 21 JUN 2011
© 2011 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 32, Issue 7, pages 660–682, July 2012
How to Cite
Lepone, A. and Yang, J. Y. (2012), The impact of a pro-rata algorithm on liquidity: Evidence from the NYSE LIFFE. J. Fut. Mark., 32: 660–682. doi: 10.1002/fut.20536
- Issue published online: 23 APR 2012
- Article first published online: 21 JUN 2011
- Manuscript Accepted: MAY 2011
- Manuscript Received: APR 2011
- Sydney Futures Exchange under Corporations Regulation
Vol. 32, Issue 8, 807, Article first published online: 1 JUN 2012
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