Michel Robe (University of Illinois) - Automation and Commodity Market Quality: Evidence from Livestock Futures

Chargement Évènements

« Tous les Évènements

  • Cet évènement est passé

Michel Robe (University of Illinois) - Automation and Commodity Market Quality: Evidence from Livestock Futures

15 juin @ 14 h 00 min - 15 h 00 min

We use U.S. regulatory data to identify the impact on livestock futures market liquidity and pricing efficiency of increased trading by machine (i.e., algorithmic) traders. Following a December 2014 change in livestock futures settlement rules, we document a sharp growth in automated trading not only close to or during the settlement period but also during the rest of the trading day. Corn futures, which are related to (and share many traders with) livestock futures, are not part of the rule change and do not experience a similar increase. A difference-in-difference instrumental-variable analysis shows that the relative increase in machine traders’ share of the trading activity significantly boosts depth (strongly) and curtails customer demand imbalances (less significantly). Bid-ask spread, on the other hand, do increase. However, controlling for changes in volume and volatility, spread increases are statistically not highly significant for customers (and insignificant when estimated across all aggressive trades). Livestock futures pricing efficiency also goes up following the settlement rule change.

Détails

Date :
15 juin
Heure :
14 h 00 min - 15 h 00 min