Research Summary
Research Summary
The NYSE Trading Floor and Spatial Dependence in Stock Returns
Description
The floor of the New York Stock Exchange (NYSE) is organized by physical posts. Each post has at most thirty panels, and each panel tracks up to thirty stocks. I demonstrate that there is spatial dependence in return correlations. Specifically, returns for stocks trading at posts farther apart are less correlated than those trading nearby. Among other things, this suggests that physical exchanges impound non-market information into prices. Moreover, the physical layout of the exchange induces location-dependent informational segmentation.