Abstract
Between October 06 and January 07, the NYSE was dramatically transformed into a fast execution venue with sub-second execution times (Exhibit 1). In this report, we examine the impact of this transformation on the cost of trading at the NYSE. We find that the NYSE achieved the sharp drop in execution times without major changes in trading costs, at least for executions of up to 10,000 shares.
TOPICS: Exchanges/markets/clearinghouses, financial crises and financial market history
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Execution Quality at the New, Fast NYSE
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