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The Journal of Trading

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Article

Do Informed Traders Prefer Automated Electronic Markets?

Timothy T. Perry
The Journal of Trading Fall 2011, 6 (4) 34-44; DOI: https://doi.org/10.3905/jot.2011.6.4.034
Timothy T. Perry
is an assistant professor of finance at the University of Minnesota Duluth in Duluth, MN. ttperry@d.umn.edu
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Abstract

This study investigated the differences in the probability of informed trading (PIN), separately, in the two components of the modern hybrid market structure: the newer automated, electronic market and the traditional open-outcry floor market. Using transaction level data, I compared Eurodollar futures contracts exchanged on the floor of the Chicago Mercantile Exchange with those exchanged on the CME’s Globex from January 3, 2000, through December 29, 2006. The findings in this study indicate that annual PINs tended to be higher in the automated market in every year. This difference decreased over the sample period and by 2006, the difference in PIN estimates between the two markets was very small in the transacting of contracts with nearterm expirations.

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The Journal of Trading: 6 (4)
The Journal of Trading
Vol. 6, Issue 4
Fall 2011
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Do Informed Traders Prefer Automated Electronic Markets?
Timothy T. Perry
The Journal of Trading Sep 2011, 6 (4) 34-44; DOI: 10.3905/jot.2011.6.4.034

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Do Informed Traders Prefer Automated Electronic Markets?
Timothy T. Perry
The Journal of Trading Sep 2011, 6 (4) 34-44; DOI: 10.3905/jot.2011.6.4.034
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  • Article
    • Abstract
    • INFORMED TRADING IN HYBRID MARKETS
    • CME EURODOLLAR FUTURES: A HYBRID MARKET
    • EURODOLLAR FUTURES TRANSACTIONS SIZES ON THE CME FLOOR AND GLOBEX
    • ESTIMATING INFORMED TRADING IN EURODOLLAR FUTURES TRANSACTIONS
    • PIN ESTIMATES: FULL SAMPLE
    • PIN ESTIMATES: NEAR-TERM EXPIRATIONS
    • PIN AND CONTRACT MATURITY IN 2005 AND 2006
    • CONCLUSION
    • REFERENCES
  • Info & Metrics
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