How is Futures Trading Affected by the Move to a Computerized Trading System? Lessons from the LIFFE FTSE 100 Contract
研究1999年5月LIFFE FTSE 100指数期货合约从公开喊价转向屏幕交易的影响，发现有效价差收窄，原因是交易者竞争加剧和逐笔波动性下降，而非其他变量影响方式改变；市场深度基本不变。
Abstract: We consider the impact of the May 1999 move to screen trading of the LIFFE FTSE 100 index futures contract. This resulted in a narrowing of the effective spread. Spread determinants are broadly similar in the two regimes. The narrowing of the spread appears due to increased competition among traders and a decline in tick‐level volatility rather than to the way these or other variables affect the spread. Market depth appears largely unaffected. Under screen trading, realized spreads widen as more limit orders are taken up rather than in relation to order size per se .