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Automation, Speed, and Stock Market Quality: The NYSE’s Hybrid

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dc.contributor.authorHendershott, Terrence
dc.contributor.authorMoulton, Pamela
dc.date.accessioned2020-09-12T21:07:37Z
dc.date.available2020-09-12T21:07:37Z
dc.date.issued2010-02-07
dc.description.abstractAutomation and trading speed are increasingly important aspects of competition among financial markets. Yet we know little about how changing a market’s automation and speed affects the cost of immediacy and price discovery, two key dimensions of market quality. At the end of 2006 the New York Stock Exchange introduced its Hybrid market, increasing automation and reducing the execution time for market orders from 10 seconds to less than one second. We find that the change raises the cost of immediacy (bid-ask spreads) because of increased adverse selection and reduces the noise in prices, making prices more efficient.
dc.description.legacydownloadsMoulton5_Automation_speed_and_stock_market_quality.pdf: 2945 downloads, before Aug. 1, 2020.
dc.identifier.other4733758
dc.identifier.urihttps://hdl.handle.net/1813/72046
dc.language.isoen_US
dc.relation.doihttps://doi.org/10.1016/j.finmar.2011.02.003
dc.rightsRequired Publisher Statement: © Elsevier. Final version published as: Hendershott, T., & Moulton, P. C. (2011). Automation, speed, and stock market quality: The NYSE’s hybrid. Journal of Financial Markets, 14(4), 568-604. Reprinted with permission. All rights reserved.
dc.subjectautomation
dc.subjectliquidity
dc.subjectspeed
dc.subjecttransparency
dc.subjectlatency
dc.subjectadverse selection
dc.titleAutomation, Speed, and Stock Market Quality: The NYSE’s Hybrid
dc.typearticle
local.authorAffiliationHendershott, Terrence: University of California - Berkeley
local.authorAffiliationMoulton, Pamela: pm388@cornell.edu Cornell University School of Hotel Administration

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