We examine liquidity across different types of markets by using execution costs as a proxy for liquidity. We conduct a thorough analysis of execution costs on the NYSE versus Electronic Markets. We adopt a variety of techniques attempting to correct for the selection bias problem. Unlike current...

The use of computers to execute trades, often with very low latency, has increased over time, resulting in a variety of computer algorithms executing electronically targeted trading strategies at high speed. We describe the evolution of increasingly fast automated trading over the past decade...