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Financial Markets -- Electronic

The following sources are recommended by a professor whose research specialty is electronic trading.


Six Superlative Sources

· Lee, Ruben. 1998. What Is an Exchange? Oxford University Press,

· Biais, Bruno, Pierre Hillion, and Chester Spatt. 1995. "An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance 50, 1655-89.

· Glosten, Lawrence R. 1994. "Is the Electronic Open Limit Order Book Inevitable?" Journal of Finance 49, 1127-61.

· Harris, Lawrence E. 1990. Liquidity, Trading Rules, and Electronic Trading Systems. Monograph 1990-4, Leonard N. Stern School of Business, New York University.

· Domowitz, Ian, and Benn Steil. 1999. "Automation, Trading Costs, and the Structure of the Trading Services Industry," Brookings-Wharton Papers on Financial Services 2, 33-92.

· Domowitz, Ian. 1993. "A Taxonomy of Automated Trade Execution Systems," Journal of International Money and Finance 12, 607-31.

Other Excellent Sources

· Bollerslev, Tim, and Ian Domowitz. 1993. "Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance 48, 1421-44.

· Domowitz, Ian, and Jianxin Wang. 1994. "Auctions as Algorithms: Computerized Trade Execution and Price Discovery," Journal of Economic Dynamics and Control 18, 29-60.

· Domowitz, Ian. 1996. "An Exchange Is a Many Splendored Thing: The Classification and Regulation of Automated Trading Systems," in A. Lo (ed), The Industrial Organization and Regulation of Securities Markets, University of Chicago Press.

· Sundel, Michael B., and Lystra G. Blake. 1991. "Good Concept, Bad Executions: The Regulation and Self-Regulation of Automated Trading Systems in United States Futures Markets," Northwestern University Law Review 85, 748-89.

· Corcoran, Andrea, and John Lawton. 1993. "The Effect of Variations among Automated Trading Systems on Regulatory Oversight," Journal of Futures Markets 13, 213-22.

· Pirrong, S. Craig. 1996. "Market Liquidity and Depth on Computerized and Open Outcry Trading Systems: A Comparison of DTB and LIFFE Bund Contracts," Journal of Futures Markets 16, 519-43.

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Fine, Vivian (1913-2000)

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