The order flow cost of index rolling in commodity futures markets
Year of publication: |
2023
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Authors: | Irwin, Scott H. ; Sanders, Dwight R. ; Yan, Lei |
Published in: |
Applied economic perspectives and policy. - Hoboken, NJ : Wiley, ISSN 2040-5804, ZDB-ID 2529839-2. - Vol. 45.2023, 2, p. 1025-1050
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Subject: | commodity | electronic trading | financialization | futures | index | order flow | roll | spread | Rohstoffderivat | Commodity derivative | Index-Futures | Index futures | Elektronisches Handelssystem | Electronic trading | Derivat | Derivative | Index | Index number | Marktmikrostruktur | Market microstructure | Warenbörse | Commodity exchange |
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