Drew Harris

University of New South Wales (UNSW)

Kensington

High St

Sydney , NSW 2052

Australia

SCHOLARLY PAPERS

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SSRN CITATIONS

2

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Scholarly Papers (1)

1.

Time Pro-Rata Matching: Evidence of a Change in LIFFE STIR Futures

Journal of Futures Markets, Vol. 35(6), p. 522–541, doi:10.1002/fut.21708, June 2015
Number of pages: 35 Posted: 05 Oct 2016 Last Revised: 07 Oct 2016
University of Sydney - Discipline of FinanceThe University of Sydney - Discipline of Finance, Macquarie University, University of New South Wales (UNSW) and Financial Conduct Authority
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Citation 2

Abstract:

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Futures, LIFFE, Market Microstructure, Pro-Rata, Price-Time Priority