Market microstructure of FT-SE 100 index futures: An intraday empirical analysis
暂无分享,去创建一个
[1] Paul R. Milgrom,et al. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders , 1985 .
[2] Joel Hasbrouck,et al. Measuring the Information Content of Stock Trades , 1991 .
[3] Ananth Madhavan,et al. An Analysis of Changes in Specialist Inventories and Quotations , 1993 .
[4] SOES Trading and Market Volatility , 1997 .
[5] M. J. Klass,et al. On the Estimation of Security Price Volatilities from Historical Data , 1980 .
[6] Charles M. C. Lee,et al. Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis , 1993 .
[7] W. Silber. Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets , 1984 .
[8] Peter R. Locke,et al. Futures market transaction costs , 1997 .
[9] H. White. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity , 1980 .
[10] Hans R. Stoll,et al. Principles of trading market structure , 1992 .
[11] Sanford J. Grossman,et al. Liquidity and Market Structure , 1988 .
[12] Ingrid M. Werner,et al. U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration , 1996 .
[13] Y. Amihud,et al. Dealership market: Market-making with inventory , 1980 .
[14] Scalper behavior in futures markets: An empirical examination , 1993 .
[15] Thomas H. McInish,et al. An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks , 1992 .
[16] Jae Ha Lee,et al. The Short-Run Dynamics of the Price Adjustment to New Information , 1995, Journal of Financial and Quantitative Analysis.
[17] M. Parkinson. The Extreme Value Method for Estimating the Variance of the Rate of Return , 1980 .
[18] S. Viswanathan,et al. Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models , 1993 .
[19] Yiuman Tse. International linkages in Euromark futures markets: Information transmission and market integration , 1998 .
[20] Avanidhar Subrahmanyam,et al. A Theory of Trading in Stock Index Futures , 1991 .
[21] Haim Mendelson,et al. Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market , 1991 .
[22] William A. Brock,et al. Periodic market closure and trading volume: A model of intraday bids and asks☆ , 1992 .
[23] H. Stoll. THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS , 1978 .
[24] Maureen O'Hara,et al. Market Microstructure Theory , 1995 .
[25] S. Viswanathan,et al. Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information , 1994, Journal of Financial and Quantitative Analysis.
[26] Ananth N. Madhavan,et al. Trading Mechanisms in Securities Markets , 1992 .
[27] Estimating the effective BID/ASK spread from time and sales data , 1994 .
[28] J. Ord,et al. An Investigation of Transactions Data for NYSE Stocks , 1985 .
[29] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[30] Joseph E. Finnerty,et al. Domestic macroeconomic news and foreign interest rates , 1995 .
[31] H. Demsetz,et al. The Cost of Transacting , 1968 .
[32] Economic costs and benefits of the proposed one—minute time bracketing regulation† , 1986 .
[33] W. Newey,et al. Automatic Lag Selection in Covariance Matrix Estimation , 1994 .
[34] A. Kyle. Continuous Auctions and Insider Trading , 1985 .
[35] Steven Manaster,et al. Life in the Pits: Competitive Market Making and Inventory Control , 1996 .
[36] George Sofianos,et al. The Trades of Market Makers: An Empirical Analysis of NYSE Specialists , 1993 .
[37] J. Hausman. Specification tests in econometrics , 1978 .
[38] Liquidity costs and scalping returns in the corn futures market , 1989 .
[39] J. H. Mulherin,et al. Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close , 1992 .
[40] T. Ho,et al. Optimal dealer pricing under transactions and return uncertainty , 1981 .
[41] Robert A. Connolly. An Examination of the Robustness of the Weekend Effect , 1989, Journal of Financial and Quantitative Analysis.
[42] Robert H. Battalio. Third Market Broker-Dealers: Cost Competitors or Cream Skimmers? , 1997 .
[43] Kalok Chan,et al. A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market , 1992 .
[44] Anat R. Admati,et al. A Theory of Intraday Patterns: Volume and Price Variability , 1988 .
[45] P. Kofman,et al. Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange , 1997 .
[46] David P. Brown,et al. Market Orders and Market Efficiency , 1997 .
[47] Dan Galai,et al. Information Effects on the Bid‐Ask Spread , 1983 .
[48] A. J. Senchack,et al. Bid‐ask spreads in financial futures , 1992 .
[49] P. Schultz,et al. Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities , 1995 .
[50] International competitiveness of U.S. futures exchanges , 1990 .
[51] Stanley R. Johnson,et al. Advanced Econometric Methods , 1984 .
[52] P. Schultz,et al. The importance of firm quotes and rapid executions: Evidence from the January 1994 SOES rules changes , 1997 .
[53] Herb Johnson,et al. The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options , 1995, Journal of Financial and Quantitative Analysis.
[54] Gary B. Gorton,et al. Security Baskets and Index-Linked Securities , 1991 .