Hendershott, Terrence; Jones, Charles M.; Menkveld, … - 2008
stocks were phased in gradually during early 2003, the manual quote was replaced by a new automated quote whenever there was … and results in more message traffic. For large-cap stocks in particular, quoted and effective spreads narrow under … algorithmic trading took hold, a pension fund manager who wanted to buy 30,000
shares of IBM might hire a broker-dealer to search …