The global trend towards automation in futures markets is in part driven by competitive pressure amongst exchanges to reduce transaction costs. This study examines the impact of electronic trading on the cost of trade execution by examining the transition from floor to electronic trading on the...

This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increased limit order book disclosure from depth at the best bid and ask prices to depth at the three...

This paper investigates the relationship between the minimum price variation and market quality variables for 3 interest rate futures contracts on the Sydney Futures Exchange. Intraday trade and quote data are obtained for the period 4 January 2000 and 1 February 2002, which includes the change...