Who Trades With Whom, and When?
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This paper examines empirically how market participants meet on the NYSE to form trades. Pure floor trades, involving only floor brokers and the specialist, account for only 4% of trading volume in the average stock, while pure system trades, involving only orders submitted electronically, account for 50% and floor and system interaction trades account for 46% of trading volume in the average stock. Market quality analysis reveals that pure system trades involving automatic execution are the most informative, while floor- initiated interaction trades also have high information content. This study offers insight into how market design affects the interaction of liquidity supply and demand and resulting market quality.
trades; brokers; volume; market analysis
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