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The Effect of Automated Trading on Market Quality: Evidence from the New York Stock Exchange

  • Andreas Storkenmaier
  • Ryan Riordan
Conference paper
  • 389 Downloads
Part of the Lecture Notes in Business Information Processing book series (LNBIP, volume 23)

Abstract

From the end of 2006 until the beginning of 2007 the NYSE introduced the NYSE Hybrid Market on a rolling basis. The NYSE Hybrid Market significantly changed the NYSE’s market model and supports automated execution for almost unlimited order sizes and different order types. The introduction of the Hybrid Market was driven by fundamental changes in the securities trading industry over the last years. This paper analyzes the effect of the NYSE Hybrid Market on market quality through analyzing different spread measures and price impact. Results show that the introduction of the Hybrid Market reduced trading costs and improved execution quality at the NYSE.

Keywords

NYSE Hybrid Market Market Quality Liquidity Automatic Execution Trading Technology 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Andreas Storkenmaier
    • 1
  • Ryan Riordan
    • 1
  1. 1.Institute of Information Systems and Management (IISM)University of KarlsruheKarlsruheGermany

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