Drew Harris

University of New South Wales (UNSW)

Kensington

High St

Sydney , NSW 2052

Australia

SCHOLARLY PAPERS

2

DOWNLOADS

242

CITATIONS

0

Scholarly Papers (2)

1.

Fragmentation and Algorithmic Trading: Joint Impact on Market Quality

Number of pages: 45 Posted: 01 Apr 2015 Last Revised: 02 Apr 2015
Macquarie Graduate School of Management, University of New South Wales (UNSW) and Wake Forest University
Downloads 216 (140,507)
Citation 1

Abstract:

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Algorithmic trading, dark trading, market manipulation, fragmentation

2.

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 Finance, University of Sydney Business School, University of New South Wales (UNSW) and Financial Conduct Authority
Downloads 26 (485,395)

Abstract:

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