Professor Dermot Murphy’s Research on NYSE Floor Brokers Published in Management Science
Professor Dermot Murphy’s Research on NYSE Floor Brokers Published in Management Science
The paper “Vestigial Tails? Floor Brokers at the Close in Modern Electronic Markets” has been accepted for publication in Management Science. In this article, Dermot Murphy, Associate Professor of Finance (UIC), and Edwin Hu (University of Virginia), explore price efficiency in closing auctions, which now comprise over 10% of trading volume in U.S. equities. They demonstrate that closing auction prices on the New York Stock Exchange are significantly less efficient than those on Nasdaq because NYSE floor brokers have special access to the auction during the final seconds of the trading day.