英文文献：The Quality of Price Discovery and the Transition to Electronic Trade: The Case of Cotton Futures-价格发现的质量与向电子交易的过渡:以棉花期货为例
英文文献作者：Janzen, Joseph P.,Carter, Colin A.,Smith, Aaron D.
英文文献摘要：
This paper studies the effect of electronic trade on the quality of market price discovery, using the Intercontinental Exchange (ICE) cotton futures market as a laboratory to measure market quality under periods of floor trade, parallel floor and electronic trade, and electronic-only trade. Using random-walk decomposition methods pioneered by Hasbrouck (2007), we decompose intraday variation in cotton prices into two components: one related to information about market fundamentals and one a “pricing error” related to market frictions such as the cost of liquidity provision and the transient response of prices to trades. We describe the properties of this pricing error to characterize market quality under both floor and electronic trading systems. Unlike previous studies, we analyze more than the average magnitude of the pricing error. Each day, we calculate statistics that describe market quality on that day, and we study their trend, variance and persistence.

摘要本文以洲际交易所(ICE)棉花期货市场为实验室，研究了场内交易、平行场内交易和电子交易、纯电子交易期间的市场质量对市场价格发现质量的影响。使用由Hasbrouck(2007)率先提出的随机游走分解方法，我们将棉花价格的当天变化分解为两个部分:一个与市场基本面的信息相关，另一个与市场摩擦相关的“定价错误”，如流动性供给的成本和价格对交易的短暂反应。我们描述了这种定价错误的性质，以表征在场内和电子交易系统下的市场质量。与以往的研究不同的是，我们分析的不仅仅是定价错误的平均幅度。每天，我们计算统计数据，以描述当天的市场质量，我们研究他们的趋势，方差和持久性。