TBA

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 Read more [...]