TY - JOUR T1 - Return Dynamics and Trading Strategy in Alternative Trading Systems JF - The Journal of Trading SP - 52 LP - 65 DO - 10.3905/jot.2012.7.3.052 VL - 7 IS - 3 AU - Jeffrey R. Black AU - Hong Miao AU - Sanjay Ramchander Y1 - 2012/06/30 UR - https://pm-research.com/content/7/3/52.abstract N2 - This article examines intra-day price relationships between electronic and floor (pit) trading markets for the S&P 500 and Nasdaq 100 equity index futures. The two contracts trade in dual open outcry and electronic platforms during non-overlapping trading hours. The results indicate that closing transactions on the electronic market have a systematically negative influence on the opening prices established on the pit. In contrast, pit prices at the end of the regular trading have a positive, but less pronounced impact on the opening prices established in the electronic exchange. Based on this relationship, we document a profitable high-frequency trading strategy that can only be partly explained by macroeconomic news.TOPICS: Exchanges/markets/clearinghouses, portfolio construction, statistical methods ER -