Download or read book Dealer Interaction and Price Discovery in Futures Markets written by Tzu-man Huang and published by . This book was released on 2005 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Contribution to Price Discovery by Orders and Trades written by Michael Chng and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Price discovery is a crucial and essential function performed by futures markets. From a futures exchange's perspective, its markets' ability to aggregate and incorporate information into prices to 'derive' the spot asset's fundamental value is a key objective of market design. We modify the Glosten-Hasbrouck model to examine the ex-ante design on ex-post price discovery of a futures market. First, we extend the model to consider a richer dynamic interaction between the price-size coordinates of orders and trades. Second, we provide two preliminary exercises to demonstrate how the presence of the contract multiplier and delayed publication of block trades affect subsequent price discovery. Despite the comprehensiveness of market design considerations, our extended base case model offers a flexible and tractable framework to guide a futures exchange in the configuration of its trading environment.
Download or read book Quote Disclosure and Price Discovery in Multiple Dealer Financial Markets written by Mark D. Flood and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the effects of price disclosure on market performance in a continuous experimental multiple-dealer market in which seven professional market-makers trade a single security. The dealers trade with one another and with computerized informed and liquidity traders. Our key comparison is between fully public price queues (pre-trade transparent market) and bilateral quoting (pre-trade opaque). We find that opening spreads are wider and trading volume is lower in the opaque markets, due to higher search costs there. More importantly, however, higher search costs also induce more aggressive pricing strategies, so that price discovery is much faster in the opaque markets.
Download or read book Market Microstructure written by Frédéric Abergel and published by John Wiley & Sons. This book was released on 2012-04-03 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
Download or read book The Price Discovery Role of Futures Markets written by Daniel Siegel and published by . This book was released on 1991* with total page 4 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interdealer Inference and Price Discovery written by Peter Locke and published by . This book was released on 2007 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate futures dealers in terms of their price relationships. We estimate a vector error correction model for dealer proprietary prices, examining the resulting information shares and common factors. More active dealers are significant price leaders, with only 1/5 of the traders responsible for a significantly higher degree of price discovery. Price leadership is more significant in both volatile and falling markets, when information is perhaps more valuable. We also find that most active floor traders generally trade at the same time and in the same direction.
Download or read book Commodity Exchange Act written by Thomas J. McCool and published by DIANE Publishing. This book was released on 2000-11 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: The application of technology to derivatives trading has resulted in the development and use of electronic systems that are changing the way derivatives are traded. What is the appropriate regulation of electronic trading systems for exchange-traded futures (ETF) and OTC derivatives? This report answers these questions: how is technology being used in the ETF market, and what concerns does this use raise under the CEA?; how is technology being used in the OTC derivatives market, and what concerns does this use raise under the CEA?; and what alternatives have been suggested for addressing the concerns by the use of technology in the derivatives markets?
Download or read book Price Discovery in the Treasury Futures Market written by Michael W. Brandt and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the mechanism by which price discovery takes place within the futures market for U.S Treasury securities. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, we compare how orderflow contributes to price discovery as well as analyze how and when information flows from one market to the other. We also consider how a number of environmental variables (trader type, financing rates and liquidity) impact the information flows between these two markets. Our findings provide new evidence on the extent to which price discovery happens away from a primary market.
Download or read book Price Discovery in Futures Markets written by Michael Steven Canter and published by . This book was released on 1996 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Treatise on Markets written by Joseph M. Burns and published by Studies in Economic Policy. This book was released on 1979 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Price Discovery in Spot and Futures Markets a Reconsideration written by Erik Theissen and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Econometric Analysis of the Role of Price Discovery in Futures Markets written by Nancy Ng Lo and published by . This book was released on 1988 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Frequency and the Efficiency of Price Discovery in a Non Dealer Market written by Shmuel Hauser and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The increasing popularity of non-dealer security markets that offer automated, computer-based, continuous trading reflects a presumption that institutionally-set trading sessions are economically obsolete. This theoretical paper investigates the effect of trading frequency, a key feature of the trading mechanism, on the efficiency of price discovery in a non-dealer market. The effect of diverging expectations on error-based and overall return volatility is isolated by tracing the market pricing error to the correlation structures of arriving information and pricing errors of individual traders. The analysis reveals that, due to a portfolio effect, an increase in the trading time interval has contradictory effects on the portion of return volatility arising from pricing errors. A greater accumulation of information increases error-based return volatility, but a greater volume and number of traders per session have the opposite effect. The net effect on overall return volatility can go either way. The results show that return volatility of heavily-traded securities is likely to be minimized under continuous trading, but volatility of thinly traded securities may be minimized under discrete trading at moderate time intervals. The probability that the latter will occur increases with the divergence of expectations among traders. These findings challenge the presumption that automated continuous trading in a non-dealer market is more efficient than discrete trading for all securities regardless of trading volume. Findings are applicable to all economies, but have a special relevance for developing countries where often a single market is dominated by small issues and a low volume of trade. As part of the analysis, we show how to correct the biased estimate of inter-session price volatility when observations are less frequent than the trading sessions themselves.
Download or read book Cash Settlement and Price Discovery in Futures Markets written by Leo H. Chan and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine how cash settlement affects the ability of the futures market to predict future spot prices. Adopting the Geweke feedback measure, we find that the feeder cattle futures contract improves its price discovery function after the cash settlement was adopted in August 1986. Moreover, spot and futures markets become more integrated thereafter. We also consider the case in which the cash settled lean hog futures contract replaced the physical delivery settled live hog futures contract in December 1996. Herein the conclusion is drastically different. After cash settlement was adopted, the futures market is less effective in price discovery. Further, spot and futures markets are more segmented.
Download or read book Price Discovery between Informationally Linked Markets During Different Trading Phases written by Abul M. M. Masih and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The dynamic nature of the price information transfer when stock and futures markets switch between different price trading phases is examined. This is undertaken by decomposing Australian stock indices and share price index futures contract data into bear and bull periods and analyzing the change in the power of the bi-directional information feedback between the futures market and small, medium and large stocks. Results support the hypothesis that the nature of the price discovery process varies with the trading phase. In particular, during the bull phase small stocks show a marked increase in price exogeneity and futures prices contain relatively less price sensitive fundamental information. We argue that in bull markets, futures trading becomes increasingly associated with non-information trading such as realizing paper profits, portfolio rebalancing and increased noise trading.
Download or read book Trading Mechanisms Speculative Behavior of Investors and the Volatility of Prices written by Hun Y. Park and published by . This book was released on 1989 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the volatility of spot prices (dealership market) with that of futures prices (auction market) to test the implications of different trading mechanisms for the volatility of prices. First, a natural estimator of the volatility is sued. Using the intraday data of the major Market Index and its futures prices, we show that the volatility of opening prices is higher than that of closing prices not only in the spot market but in the futures market, and that the intraday volatility patterns are U-shaped in both markets. Of particular interest is that futures prices do not appear to be as volatile as spot prices when the natural estimator of volatility is used, to the contrary of the conventional wisdom. We argue that the different volatility patterns during the day are not necessarily due to the different trading mechanisms, auction market versus dealership market. Instead, after developing a simple theoretical model of speculative prices, we show that at least part of the different volatility patterns during the day may be attributable to speculative behavior of investors based on heterogeneous information. In addition, we further investigate the volatilities of spot and futures prices using a temporal estimator of price volatility as an alternative to the natural estimator. Based on the temporal estimator, we cannot find any systematic pattern of volatilities during the day in both spot and futures markets, and that futures prices appear to be more volatile than spot prices in terms of how quickly the price moves beyond a given unit price level, but not in terms of how much the price changes during a given unit time interval. Some policy implications are also discussed.
Download or read book Liquidity Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
