Market quality and price discovery: Introduction of the E-mini energy futures
暂无分享,去创建一个
[1] J. Gonzalo. The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems" , 2010 .
[2] Michael J. Tomas,et al. Price Discovery in the Pits: The Role of Market Makers on the CBOT and the Sydney Futures Exchange , 2004 .
[3] Y. Tse,et al. Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock , 2003 .
[4] A. Kurov,et al. Price Dynamics in the Regular and E-Mini Futures Markets , 2003, Journal of Financial and Quantitative Analysis.
[5] Ekkehart Boehmer,et al. Trading Your Neighbor's Etfs: Competition or Fragmentation? , 2003 .
[6] Frank de Jong,et al. Measures of Contributions to Price Discovery: A Comparison , 2002 .
[7] Thomas H. Mcinish,et al. Security price adjustment across exchanges: an investigation of common factor components for Dow stocks , 2002 .
[8] Y. Tse,et al. Trading and Pricing in Upstairs and Downstairs Stock Markets , 2002 .
[9] Bruce N. Lehmann,et al. Some desiderata for the measurement of price discovery across markets , 2002 .
[10] R. Baillie,et al. Price discovery and common factor models , 2002 .
[11] Thomas H. Mcinish,et al. Common factor components versus information shares: a reply ☆ , 2002 .
[12] R. Huang,et al. The Quality of ECN and Nasdaq Market Maker Quotes , 2002 .
[13] Stewart Mayhew,et al. Competition, Market Structure, and Bid‐Ask Spreads in Stock Option Markets , 2002 .
[14] Gary W. Emery,et al. An analysis of the relationship between electricity and natural‐gas futures prices , 2002 .
[15] Y. Tse,et al. Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading , 2001 .
[16] Y. Tse. Further Examination Of Price Discovery On The Nyse And Regional Exchanges , 2000 .
[17] P. Franses,et al. SETS, arbitrage activity, and stock price dynamics , 2000 .
[18] Albert S. Paulson,et al. Risk arbitrage opportunities in petroleum futures spreads , 1999 .
[19] Y. Tse. Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets , 1999 .
[20] Terrence F. Martell,et al. Changing the Size of a Futures Contract: Liquidity and Microstructure Effects , 1999 .
[21] David K. Ding,et al. An investigation of price discovery in informationally-linked markets: equity trading in Malaysia and Singapore , 1999 .
[22] Y. Tse,et al. Price discovery in the German equity index derivatives markets , 1999 .
[23] Imad A. Moosa,et al. The relationship between spot and futures prices: Evidence from the crude oil market , 1999 .
[24] Jeff Fleming,et al. The impact of energy derivatives on the crude oil market , 1999 .
[25] Thomas H. Mcinish,et al. The liquidity of automated exchanges: new evidence from German Bund futures , 1998 .
[26] M. Martens,et al. Price discovery in high and low volatility periods: open outcry versus electronic trading , 1998 .
[27] R. Mcnown,et al. Noninformative and informative tests of efficiency in three energy futures markets , 1998 .
[28] Jeffry L. Davis,et al. Fragmentation Versus Consolidation of Securities Trading: Evidence From the Operation of Rule 19C‐31 , 1998, The Journal of Law and Economics.
[29] Frank de Jong,et al. Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate , 1998 .
[30] Herbert M. Kaufman,et al. A Cross-Exchange Comparison of Execution Costs and Information Flow for Nyse-Listed Stocks , 1997 .
[31] Mbodja Mougoué,et al. An Examination of Linear and Nonlinear Causal Relationships Between Price Variability and Volume in Petroleum Futures Markets , 1997 .
[32] Raul Susmel,et al. Volatility, Storage and Convenience: Evidence from Natural Gas Markets , 1997 .
[33] Joel Hasbrouck,et al. One Security, Many Markets: Determining the Contributions to Price Discovery , 1995 .
[34] I. Moosa,et al. The effectiveness of arbitrage and speculation in the crude oil futures market , 1995 .
[35] R. Whaley,et al. Estimating the effective BID/ASK spread from time and sales data , 1994 .
[36] Andrew C. Szakmary,et al. Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis , 1994 .
[37] W. Crowder,et al. A cointegration test for oil futures market efficiency , 1993 .
[38] Walayet A. Khan,et al. UNLISTED TRADING PRIVILEGES, LIQUIDITY, AND STOCK RETURNS , 1993 .
[39] S. Johansen. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models , 1991 .
[40] S. Ross. Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy , 1989 .
[41] Mark L. Waller,et al. DETERMINANTS OF LIQUIDITY COSTS IN COMMODITY FURURES MARKETS , 1988 .
[42] Haim Mendelson,et al. Consolidation, Fragmentation, and Market Performance , 1987, Journal of Financial and Quantitative Analysis.
[43] C. Granger,et al. Co-integration and error correction: representation, estimation and testing , 1987 .
[44] James L. Hamilton. Marketplace Fragmentation, Competition, and the Efficiency of the Stock Exchange , 1979 .
[45] Ben S. Branch,et al. BID‐ASKED SPREADS ON THE AMEX AND THE BIG BOARD , 1977 .
[46] L. Harris. Trading and Exchanges: Market Microstructure for Practitioners , 2002 .
[47] S. Mitchell,et al. Comments Welcome , 1998 .