Recent research of market structure and transactions costs have shown that the structure of the trading platform can have an impact on the bid-ask spread. This paper provides additional evidence that suggests that the microstructure of financial markets has an impact on the effective bid-ask...

Recent research in finance has indicated that the institutional structure in which financial asset prices are determined can have a nontrivial impact on pricing. This report examines transaction level data for Treasury Note futures contracts traded at the Chicago Board of Trade (CBOT) to...