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Author: Sandip Dutta Publisher: ISBN: Category : Languages : en Pages : 125
Book Description
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.
Author: Sandip Dutta Publisher: ISBN: Category : Languages : en Pages : 125
Book Description
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.
Author: Charles M.S. Sutcliffe Publisher: Routledge ISBN: 1351148559 Category : Business & Economics Languages : en Pages : 534
Book Description
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.
Author: Yoichi Otsubo Publisher: ISBN: Category : Emissions trading Languages : en Pages : 85
Book Description
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.
Author: Sandip Dutta
Author: Sandip Dutta
Author: Alexander Kurov
Author: Andrew Seong Kiat Tan
Author: Ahmet Kamil Karagozoglu
Author: 
Author: Charles M.S. Sutcliffe
Author: Anne Fremault
Author: Yoichi Otsubo
Author: Pongsutti Phuensane
Author: 顏君晃