The end of an era: Who paid the price when the livestock futures pits closed?
研究了芝加哥商品交易所关闭牲畜期货交易池对客户订单执行质量的影响，发现交易池关闭后，原本使用交易池的客户在电子市场上面临更快的执行速度和更高的成本，但总体执行成本降低。
Abstract This paper evaluates the impact of the Chicago Mercantile Exchange's (CME) decision to close the livestock futures pits on the execution quality of customer orders. Our findings suggest that, prior to its closure, the livestock futures pit offers high immediacy execution and attracts large orders. Because such high immediacy orders generally execute faster and cost more, their migration to the electronic market after the pit closure explains why the execution of electronic orders becomes on average speedier and more expensive for customers who used to be active pit users. However, our results also indicate that these pit‐user customers face a lower overall execution cost following the pit closure when we account for all their orders, pit and electronic.