Time pro‐rata matching: Evidence of a change in LIFFE STIR futures
Matching algorithms are important for well‐functioning financial markets. This paper
examines the 2007 change by LIFFE, to move from pure pro‐rata to time pro‐rata allocation …
examines the 2007 change by LIFFE, to move from pure pro‐rata to time pro‐rata allocation …
Size Precedence And Share Volume: The Case Of The Psx Exchange
SN Jurich - Journal of Financial Management, Markets and …, 2020 - World Scientific
Most equity exchanges operate with a price-time priority market structure. Using a natural
experiment, this study examines the ability of an exchange to attract share volume when size …
experiment, this study examines the ability of an exchange to attract share volume when size …