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...

Emissions trading systems as a means of air pollution control have been developed in recent years to address some important limitations of traditional command and control environmental regulation. Trading systems address many of the inefficiencies of command systems and may promote cost-effectiveness by introducing flexibility and providing incentives for sources with lower control costs to und...

It is shown that multiple complementary techniques for trading BER performance for cost reduction in the Viterbi algorithm for multipleinput/multiple-output joint demodulation can be merged to obtain substantial and efficient cost reduction. Quantitative results for application to the separation of GSM cochannel signals are presented. It is shown that up to six signals can be separated at a GSM...

This paper documents that speed is crucially important for high-frequency trading strategies based on U.S. macroeconomic news releases. Using order-level data on the highly liquid S&P 500 ETF traded on NASDAQ from January 6, 2009 to December 12, 2011, we find that a delay of 300 ms or more significantly reduces returns of news-based trading strategies. This reduction is greater for high impact ...

Because of outsourcing and offshoring, supply chains have become longer and more complex in the past decade, with huge increases in intermediate and final goods destined for manufacturers and retailers in North America and Europe, originating in emerging markets in Asia. While overall costs of procurement have decreased as a result, CEOs and supply managers have also noted a strong increase in ...

This study examines various measures of trading costs estimated from highfrequency data, the extent to which these measures can be estimated from daily data, and finally the relation between the daily-based proxies and stock returns (where trading cost is viewed as a characteristic). The high-frequency estimates of trading cost achieve partial agreement. Posted spreads and effective costs are h...

In this paper, we study the interactions among interconnected autonomous microgrids, and develop a joint energy trading and scheduling strategy. Each interconnected microgrid not only schedules its local power supply and demand, but also trades energy with other microgrids in a distribution network. Specifically, microgrids with excessive renewable generations can trade with other microgrids in...

Research work on price making mechanisms in computational intelligence still remains somewhat under-represented, in part because of its short-time scale implications, and in part due to the complexity in modeling bid-offer array books and correlating them to individual market players. Here we report a study on the transaction cost – trading volume correlations in an artificial stock market with...

This article constructs an economic model of a rational trader who operates in a market with transaction costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a result, trading volume (through its effect on marginal cost) is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a si...

This paper investigates the insider trading before scheduled versus unscheduled corporate announcements to explore how corporate insiders utilise their private information in response to the time-varying liquidity trading. Using a comprehensive insider trading database, we show that: (1) the insider’s propensity to trade increases in the amount of liquidity trading before both the scheduled and...