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| Author: | Grossman, S. J. |
| Title: | Program trading and market volatility : A report on interday relationships. |
| Journal: | Financial Analysts' Journal
1988 : JUL/AUG, VOL. 44:4, p. 18-28 |
| Index terms: | STOCK MARKETS STOCK EXCHANGES STOCKBROKING WALL STREET ELECTRONIC DATA PROCESSING |
| Language: | eng |
| Abstract: | Positive relationship between the intensity of non-programme Designated Order Turnaround (DOT) system volume, relative to the New York Stock Exchange volume, and volatility, indicating volatile days when retail-customer generated DOT order flow is large, with reference to institutional block trades, which are not DOT-delivered. Six Tables are given with data, statistics and regression analysis and three Figures: volatility vs. programme intensity. |
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