ROBERT A. SCHWARTZ The primary objective of this book is to consider how the inclusion of electronic call auction trading would affect the performance of our U.S. equity markets. The papers it contains focus on the call auction and its role in a hybrid market struc ture. The purpose is to increase understanding of this trading environment, and to consider the design of a more efficient stock market. This book had its origin in a symposium, Electronic Call Market Trading, that was held at New York University's Salomon Center on April 20, 1995. Nearly 150 people from 16 different countries attended. At the time, three proprietary trading systems based on call auction principles (The Arizona Stock Exchange, Posit, and Instinet's Crossing Network) had been operating for several years and interest already existed in the procedure. Since the symposium, increasing use has been made of call auctions, primarily by the ParisBourse in its Nouveau Marchi: and CAC markets, by Deutsche Borse in its Xetra market, and in the U.S. by OptiMark. Rather than being used as stand alone systems, however, call auctions are now being interfaced with continuous markets so as to produce hybrid market structures, a development that is given considerable attention to in a number of the chapters in this book.

InhaltsangabeContributors. Foreword; R.A. Schwartz. Preface; P. Sahgal. Part I: Call Auction Trading. 1. The Call Auction Alternative; R.A. Schwartz. 2. The Call Market: Historical Artifact or Market Architecture of the Future; J.A. Kregel. 3. Call Market Trading: History, Economics, and Regulation; B. Steil. 4. An Electronic Call Market: Its Design and Desirability; K.J. Cohen, R.A. Schwartz. 5. Electronic Call Market Trading; N. Economides, R.A. Schwartz. 6. The Option Properties of Limit Orders in Call and Continuous Environments; N. Beiner, R.A. Schwartz. 7. Considering Execution Performance in Electronic Call Market Design; D. Timothy McCormick. 8. Call Market Mechanism on The Paris Stock Exchange; P. Samaran, et al. 9. Call Market Mechanism on Deutsche Börse; M. Reck. 10. Call Market Mechanism on the Tel Aviv Stock Exchange; S. Bronfeld. 11. Who Should Trade in a Call Market? S.E. Woodward. Part II: Investor Trading Practices and the Demand for Immediacy. 12. Equity Trading Practices and Market Structure: Assessing Asset Managers' Demand for Immediacy; N. Economides, R.A. Schwartz. 13. Institutional Investor Trading Practices and Preferences; R.A. Schwartz, B. Steil. 14. French Institutional Investors: Investment Process, Trading Practices and Expectations; M. Demarchi, S. Thomas. 15. The Demand for Immediacy on the Australian Stock Exchange (ASX); J. Douglas, C.R.B. Thomas. Part III: Market Structure: The Broader Picture.16. Technology Curves, Innovation and Financial Markets; A.R. Berkeley, III. 17. Market Integration: What's the Optimum Level? Serving the Needs of Institutional and Retail Investors; R.-E. Breuer. 18. An Analogue Trader Views the Digital Market and Beyond; F. Baxter. 19. What's Driving Market Structure? Technology or Regulation? R.S. Wunsch. 20. Financial Markets in the New Millennium: Will the Inmates Run the Asylum? J. Peake. 21. How Best to Supply Liquidity to a Securities Market; P. Handa, R.A. Schwartz. 22. The OptiMark Experience: The First Year; E.K. Clemons, B.W. Weber. 23. Dealer Markets, Derivative Expirations and a Call; R.A. Schwartz, R.A. Wood. 24. Open Sesame: Alternative Opening Algorithms in Securities Markets; I. Domowitz, A. Madhavan. 25. Call Market Trading in Germany A Pre-Xetra Analysis; H. Schmidt, et al. 26. Noise in the Price Discovery Process: A Comparison of Periodic and Continuous Auctions; M. Coppejans, I. Domowitz. 27. The Effects of Automation on Market Efficiency in Auction and Specialist Markets; W. Freund, M. Pagano. 28. Technology's Impact on the Equity Markets; R.A. Schwartz. Index.