We examine market volatility across an automated periodic auction mechanism and a continuous automated auction, using data on five futures contracts traded on the GLOBEX trading system. The analysis is supplemented by a comparison of the periodic market with floor trading. Our data permit...

We ask whether foreign equity ownership affects the stability of information signals that are absorbed into prices in an emerging economy. We address both the effect of ownership restrictions exogenously imposed on stock ownership and the impact of introducing or widening foreign ownership...

The use of automated auctions to trade equities, derivatives, bonds and foreign exchange has increased dramatically in recent years. Trading in automated auctions occurs through an electronic limit order book without the need for dealers. Automated auctions offer advantages of speed and...

A key focus of empirical work on limit order markets is the relative importance of individual pieces of information in characterizing order submission and trade execution. We enlarge this focus to include an examination of pricing behavior, using data on index futures trading in a pure...

Automated trade execution systems are examined with respect to the degree to which they automate the price discovery process. Seven levels of automation of price discovery are identified, and 47 systems are classified according to these criteria. Systems operating at various levels of automation...

A taxonomy of existing and planned automated trade execution systems in financial markets is provided. Over 50 automated market structures in 16 countries are analyzed. The classification scheme is organized around the principle that such markets consist of an algorithm that performs a trade...

The goal of this paper is to analyze consumer demand in markets with large price uncertainty. We develop a demand model for goods that are subject to habit formation. We show that consumption plans of forward looking individuals depend not only on preferences and current period prices, but also...

The purpose of this paper is to explore and evaluate smooth approximation methods for value functions. These approximation methods are increasingly important in numerical dynamic programming since they allow researchers to solve models with a multitude of continuous state variables. In this...

This paper proposes a new nonparametric estimator for general regression functions with multiple regressors. The method used here is motivated by a remarkable result derived by Kolmogorov (1957) and later tightened by Lorentz (1966). In short, they show that any continuous function of multiple...

In this paper, we consider expectations of the form E[log(y)|x] = a'log(x) as a good starting point for a more general analysis. We show why this naturally leads to the following flexible functional form E[y|x] = f(h(x)), where all functions are estimated by cubic splines. One of the main goals...