"Analyzing the Performance of Crossing Networks", Barra Newsletter, Fall 1998, pp.24-25
Topic: Investing (Investment Management) |
Asset Class: Equities
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In other articles we have drawn attention to the importance of controlling transaction costs. Electronic Crossing Networks (ECNs), such as the POSIT system2, represent one approach to this problem. Participants in an ECN submit lists of orders they wish to do. The lists are matched up by a computer and matched orders are executed at the midpoint of the bid-ask spread. The system may support additional control by participants over the matching process, for instance the ability to specify minimum fill sizes. However, in this article we will focus on the bare bones of the matching process.
Publication:
Authors: LATHAM Geoff A., TORRE Nicolo
