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Upstairs,Downstairs:

Electronicvs.OpenOutcryExchanges

CraigPirrong

UniversityofHouston

Houston,TX77204

713-743-4466

spirrong@uh.edu

February19,2003

1 dominate. marketstructure,¯nancialexchanges. 2

1Introduction

openoutcryauctionontheexchange°oor. 3 isgainingsigni¯cantmarketshare. 4 skimming"ofthissort. 2 limitorder. 5 technology. withthegreaterpotentialliquidity. 6 technology.Section6summarizesthearticle.

2LiquidityinanOpenOutcryMarket

7 viamarketorder. the°oortradersisTF=P F i2Fti. valueis¾2. 8 tolerance)oftheupstairstradersisTU=P U j2U¿j.3 devisingtheirorderplacementstrategies.4 mentnicely: 4 that°oortradersdonot. 9 andShumway,p.4).5 10 issuperior(inferior)atanypointintime.6 willingtotrade. X themodelpresentedinthemainbodyofthetext. 11 timerequiredtosubmitalimitorder. schedules. oftime. 12

P=¸F(K

X k=1wk+z)(1) traderlchooseswl,i=1;2tomaximize:

V=wlE[v¡¸F(wl+z+X

k6=lwk)](2) that: w l=¯Fv=v(K+1)¸F8l·K(3) hisrisk-adjustedpro¯t: E ig(4) E

F[vjK¯Fv+z]=K¯F¾2K

2¯2F¾2+S(K¯Fv+z)(5)7

istrueforupstairstradersaswell. 13 ^¾2F=S¾2K

2¯2F¾2+S(6)

y i=ti[K¯F¾2K imizehisrisk-adjustedpro¯t: E jg(8) tothenormalityofvandz,EU[vjK¯Fv+z]is: E

U[vjK¯Fv+z]=K¯F¢µ¾2K

2¯2F¢µ¾2+S(K¯Fv+z)(9)

^¾2U=S¢µ¾2K

2¯2F¢µ¾2+S(10)

x j=¿j[K¯F´¾2K

Marketclearingimplies:

X F i2Fyi+X U j2Uxj+K¯Fv+z=0:(12) 14 F=1T

F^¾2F+TU^¾2U[1+K¯F(TF+TU)S

](13) ducesaquadraticequationin¯F: T (14) equilibrium¸F. elastic. 15 costs. intime.

3LiquidityinaComputerizedMarket

16 andupstairstraders. 9 17

µ¾2.

C=^¾2CT

F+TU+K¯C^¾2CS

(15) ^¾2C=Sµ¾2K

2¯2Cµ¾2+S(16)

equationin¯C: T

F+TUµ

=¾2(K+1)¯C+¯2CK(TF+TU)S (17)

4AComparisonoftheLiquidityofComput-

erizedandFloorExchanges 18 T

F+TU¢µ·TF+TUµ

!¸C·¸F.That andonlyifTF+TU¢µU(1¡1¢ )>(µ¡1)TF(18) 19

Severalresultsfollowfromthisexpression:

(atapointintime)thanupstairstraders. below. 20 byasu±cientlylargeTU: in¢.

Relatedly:

thantheopenoutcryexchange. 21
U) openoutcryexchange. 22
ofbiddersando®erors. 23
and¾2. 24
bearingcapacityarenotcontrolledfor.

°oorisindeedspecial{i.e.,ifµ>1.

5CoordinationCosts,Competition,andEx-

changeOwnership 25
outcryoroncomputer. 26
27
e®ects.14 pleteinformation. 28
openoutcryincumbent(Pirrong,1995). 29
T 30
tradingtechnology. functionmaygivethemanincentivetosupp Tj

6.72 0 TD (ortelectronictrading.Thisin-

result. 31
openoutcryexchange.18 32

Coaseanbargainsamongexchangemembers.

6SummaryandConclusions

33
toupstairsanddownstairstraders. 34
outcryandcomputerizedexchanges. 35
theUS)shouldnotbesostartlingafterall.

AAnAlternativeModel

favor. 36
where A F=Z F i2FtidQF+Z U j2U¿jdQU:(20) and B F=Z F i2Ft i§

²dQF+Z

U j2U¿ j§

±+§ÁdQU:(21)

37
where A C=Z F i2FtidQF+Z U j2U¿jdQU:(23) and B C=Z F i2Ft i§

ÁdQF+Z