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An empirical analysis of price and time priority and pro rata trade execution algorithms in screen-traded markets

Frino, Alex; Hill, Amelia; Jarnecic, Elvis - In: The journal of derivatives : the official publication … 7 (2000) 4, pp. 41-48

Persistent link: https://www.econbiz.de/10001500038

An empirical analysis of the supply of liquidity by locals in futures markets : evidence from the Sydney Futures Exchange

Frino, Alex; Jarnecic, Elvis - In: Pacific-Basin finance journal 8 (2000) 3/4, pp. 443-456

Persistent link: https://www.econbiz.de/10001487816

Differences in the cost of trade execution services on floor-based and electronic futures markets

Bortoli, Luke Gareth; Frino, Alex; Jarnecic, Elvis - In: Journal of financial services research : JFSR 26 (2004) 1, pp. 73-87

Persistent link: https://www.econbiz.de/10002120370

Activity in futures : does underlying market size relate to futures trading volume?

Frino, Alex; Jarnecic, Elvis; Zheng, Hui - In: Review of quantitative finance and accounting 34 (2010) 3, pp. 313-325

Persistent link: https://www.econbiz.de/10003970042

Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange

Frino, Alex; Jarnecic, Elvis; Johnstone, David; Lepone, … - In: Pacific-Basin finance journal 13 (2005) 3, pp. 247-262

Persistent link: https://www.econbiz.de/10002908544

The determinants of the price impact of block trades : further evidence

Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: Abacus : a journal of accounting, finance and business … 43 (2007) 1, pp. 94-106

Persistent link: https://www.econbiz.de/10003537526

The impact of electronic trading on bid-ask spreads : evidence from futures markets in Hong Kong, London, and Sydney

Aitken, Michael J.; Frino, Alex; Hill, Amelia M.; … - In: The journal of futures markets 24 (2004) 7, pp. 675-696

Persistent link: https://www.econbiz.de/10002108815

An event time study of the price reaction to large retail trades

Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: The quarterly review of economics and finance : journal … 49 (2009) 2, pp. 617-632

Persistent link: https://www.econbiz.de/10003852644

Local trader profitability in futures markets : liquidity and position taking profits

Frino, Alex; Jarnecic, Elvis; Feletto, Roger - In: The journal of futures markets 30 (2010) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10003962216

Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets

Bortoli, Luke Gareth - 2015

This paper provides new evidence on the impact of electronic trading on brokerage commissions by investigating a sample period that covers the period of transition from floor to electronic trading on the Sydney Futures Exchange. After controlling for liquidity, volatility and broker identity,...

Persistent link: https://www.econbiz.de/10012750716