Menkveld, Albert J. (contributor); Sarkar, Asani (contributor) - 2007
. Section 1 discusses the institu-
tional background, the data, and provides summary statistics. Section 2 studies customer … studies15 we restrict attention to CTI1 and CTI4 trades as they represent most
of the trading volume.
13See, e.g., “CFTC ….
Previous studies, most notably Green (2004), document empirical support, but they rely on
interdealer flow. As mentioned in the …