We are the first to evaluate the impact of the trading floor closure on the corresponding efficiency of the stock price formation process on the Toronto Stock Exchange (TSX). Utilizing short-horizon return predictability as an inverse indicator of market efficiency, we demonstrate that while the switch to all electronic trading resulted in higher trading activity and lower trading costs, the in...

This paper proposes that electronic marketplaces for Web 3.0 can be described through three metaphors: “marketplaces where people are”, “marketplaces that are alive and engaging”, and “market places where information is valuable and useful”. The paper presents the core technologies that enable the perceivable reality of electronic marketplaces. It describes a demonstrable prototype of a Web-bas...

Two alternative trading mechanisms for securities markets are compared using laboratory experimentation and computer simulation. One mechanism is the floor-based specialist auction in place in most U.S. stock exchanges today, and the other is an electronic alternative employing automatic order matching. We conclude that transition from the established floor-based exchanges to potentially superi...

T paper examines the contribution to price discovery by electronic and voice-based trading systems in the U.S. Treasury market. Evidence shows that the electronic trading system has more price discovery and that trading automation increases the speed of incorporating information into prices. However, human trading generates significant price discovery, though its volume is low. The relative con...

Stock transaction data have become very detailed and enormous with the introduction of electronic-trading systems. This makes it a problem to store and to access,the data in later analyses such as mining useful gatterns and backtesting trading strategies. This paper investigates several storage methods in terms of both storage space and access efficiency and then proposes a new dynamic storage ...

We examine the evolution of the public electronic trading community over the Internet, based on the case study of two e-hubs for direct materials in the hi-tech industry in Asia. We identify three different stages in the transformation of the public online trading community. We also observe that there are two types of online trading community formation at a different stage of the public communi...

The ease of Internet stock trading has lured relatively inexperienced investors into the financial markets. We study the consequences of the influx of these uninformed traders with a dynamic equilibrium framework. Our results show that these strategic uninformed online traders who adopt feedback strategies cannot outperform those who do not follow feedback strategies and that feedback trading c...

Modern financial markets compete aggressively for trading activity and investor interest. Information technology, once a crucial element in streamlining paper flows and operations, is now a strategic resource used in attracting or retaining market liquidity. Established exchanges introduce technology to enhance their markets. New market venues challenge the status quo and rely on technology to ...

Being provided with a unique high-frequency dataset, we are able to show by means of an empirical analysis that computer-based traders, i.e. Algorithmic Trading (AT) engines, behave significantly different from human traders with regard to their order cancellation behaviour. Furthermore, given exactly this difference we point out that the application of well-established “traditional” liquidity ...

An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access to a stream of noisy information concerning the future return of an asset, whe...