Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading
比较了FTSE 100指数期货合约从公开喊价转为电子交易前后的订单不平衡特征，发现电子市场中订单不平衡具有强序列持续性，且买卖行为对流动性和价格影响不对称。
Abstract: This study examines trading activities before and after the transfer of the FTSE 100 index futures contract from open outcry to electronic trading. Daily order imbalance exhibits strong serial persistence in the electronic limit order market, but not in open‐outcry trading. Both excess buying and selling reduce liquidity. In the electronic venue, prior market movements barely affect investors' buying or selling decisions. Excess buy orders do not generate any price impact, but sell orders do. Positive imbalances are more strongly autocorrelated than negative imbalances. No trading elements, such as order imbalance, volume, or open interest, are associated with volatility. Moreover, excess buying decreases volatility. Such evidence suggests that the development and growth of electronic trading has changed the dynamics of trading activities in many important ways.