Market liquidity and depth on computerized and open outcry trading systems: a comparison of DTB and LIFFE bund contracts

Article Abstract:

The buying and selling of futures contracts by 'open outcry' on exchange floors has been replaced by computerized markets. The London International Financial Futures Exchange's (LIFFE) Automated Pit Trading System and the Deutsche Terminborse (DTB) are examples of computerized trading systems. Research is done to theoretically and empirically compare the supply mechanisms of automated futures trading systems and traditional open outcry systems. Findings indicate that computerized markets may actually increase market liquidity and eventually supplant open outcry as a transaction mechanism.

Research, Technology application, Futures, London International Financial Futures Exchange, Deutsche Terminboerse GmbH

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Do managed futures make good investments?

Article Abstract:

Three types of managed future investments for the period 1983-1992 are examined, namely, funds placed directly with Commodity Traders Advisors (CTAs), funds placed with private Commodity Pool Operators and funds invested in public commodity funds. Investments in equally-weighted market portfolios (EWMP) of CTAs, pools and funds for the periods 1983-1988 and 1989-1992 are also examined. Findings show that public futures funds are the poorest stand-alone investment. An EWMP of CTAs or pools is an attractive stand-alone investment.

Investors, not elsewhere classified, Open-End Investment Funds, Commodity Investors, Analysis, Evaluation, Investments, Futures market, Futures markets, Commodity funds

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Liquidity without volume: the case of FINEX, Dublin

Article Abstract:

An analysis of the FINEX trading activities reveals that it is possible to trade by using other liquidity guaranteeing mechanisms and that direct liquidity measures may be gained through measuring buyer-initiated activities. Data was gathered using Broker Reconciliation Reports and Time and Sales Reports from daily tradings on the FINEX trading floor in Dublin between January 1997 and March 1997.

Management, Securities dealers, Stocks, Securities, FINEX

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