Download or read book Essays on the Microstructure of Equity Index Futures Markets written by Sandip Dutta and published by . This book was released on 2007 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous studies (on NASDAQ and the Chicago Mercantile Exchange) have documented that electronic trades make a dominant contribution to the price discovery process, as compared to floor trades. In this dissertation, I extend the body of literature on the microstructure of electronic trading in financial markets, with particular emphasis on the E-mini futures markets. In the three essays that are documented here, I present a microscopic examination of price dynamics and futures trading in the E-mini futures markets at the Chicago Mercantile Exchange.

Download or read book Three Essays in Microstructure of Stock Index Futures Markets written by Alexander Kurov and published by . This book was released on 2004 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Market Microstructure and Security Design in Futures Markets written by Andrew Seong Kiat Tan and published by . This book was released on 2005 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Microstructure of Futures Markets written by Ahmet Kamil Karagozoglu and published by . This book was released on 1999 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Economic Role of Stock Index Futures Markets written by and published by . This book was released on 1990 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.

Download or read book Three Essays on the Economic Role of Stock Index Futures Markets written by Anne Fremault and published by . This book was released on 1990 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Market Microstructure written by Yoichi Otsubo and published by . This book was released on 2011 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay analyzes the market microstructure of the European Climate Exchange (ECX), the largest European Union Emissions Trading Scheme trading venue. Spreads range from 2 to 6 times the minimum tick increment on European Union Allowances (EUA) futures. Market impact estimates imply that an average trade will move the EUA market by 1.08 euro centimes. Information shares imply that approximately 90% of price discovery is taking place in the ECX futures market. We find imbalances in the order book help predict returns for up to three days. A simple trading strategy that enters the market long or short when the order imbalance is strong is profitable even after accounting for spreads and market impact. The second essay provides a case that the Thompson-Waller (TW) estimator would have downward bias, which has not been carefully discussed in the literature. Such case is that (i) the buy (sell) order tends to follow buy (sell) order and (ii) the price changes associated to such orders are small. The upward bias of the TW estimator would be canceled out by the downward bias, and in such case the estimator would perform better than the other absolute price change methods. The application to the EUA futures contract trading implies that its trading pattern and the price change provide the conditions that reduce the bias of the TW estimator. The Madhavan, Richardson and Roomans model is applied to examine the spread component of the market. A dominance of asymmetric information component in the spread is found. The fraction of the spread attributable to that component increases gradually during the observation period. The final essay examines price discovery of Japanese companies' Tokyo-New York cross-listed shares. Kalman filter is utilized to estimate partial price adjustment model. By employing Kalman filter, the present research can deal with missing values problem researchers has to confront in order to analyze non-overlapping markets such as Tokyo and New York. I find that events with larger magnitude of efficient price change occur during Tokyo opening hours. Dynamic measure shows that New York Stock Exchange is more efficient in price discovery.

Download or read book Essays on the Microstructure of Informed Trading and Hidden Orders in Futures Markets written by Pongsutti Phuensane and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Market Microstructure of Stock Index Futures written by 顏君晃 and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Market Microstructure of the FTSEurofirst Index Futures written by Kirby Faciane and published by . This book was released on 2010 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Stock Index Futures Market written by B. Thomas Byrne and published by Irwin Professional Publishing. This book was released on 1987 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Equity Market Microstructure written by Vassilios Papavassiliou and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Role of Time volume and Volatitlity in Futures Market Microstructure Evidence from the Mexican Derivatives Exchange written by Lavern McFarlane 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 Essays on the Role of Time Volume and Volatility in Futures Market Microstructure written by Lavern McFarlane and published by . This book was released on 2009 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Stock Index Futures and Inter market Relationships written by Andrew C. West and published by . This book was released on 2000 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Equity Market Microstructure written by Yan Du and published by . This book was released on 2006 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays in the area of equity market microstructure using transaction level data. The first essay examines the event of closing cross in NASDAQ on April 2004. It investigates the choice of participating in closing cross, its impacts on intraday liquidity, volatility, and market quality. It is observed that large cap stocks favor closing cross more than other stocks and closing cross mitigates volatility and order imbalance in NASDAQ. Closing cross does not draw additional volume to either NASDAQ or ECNs; however, it helps NASDAQ to gain proportionally more volume from ECNs around market close. In addition, the gap in transaction costs between NASDAQ and ECNs narrows down after the introduction of closing cross, particularly for medium and large cap stocks. Only small cap stocks experience lowered intraday volatility. Moreover, there is evidence of market quality deterioration. The second essay unfolds the intraday impact of price limits on the magnet effect and the momentum effect. Using Korea Stock Exchange's high frequency trading data and limit order book, we confirm the presence of the magnet effect by demonstrating accelerated trading activities during the 30-minute period prior to limit hits. We introduce quasi limit hits in the Korea Stock Exchange and pseudo limit hits in NASDAQ to distinguish the magnet effect from intraday momentum effect. This paper concludes that the magnet effect is led by the existence of price limits; dictated by the width of price limit band; and is not confined to a particular group of stocks.