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Are intraday volume and volatility u-shaped after accounting for public information?

Eaves, James; Williams, Jeffrey - In: American journal of agricultural economics 92 (2010) 1, pp. 212-227

Persistent link: https://www.econbiz.de/10008904341

Walrasian tâtonnement auctions on the Tokyo Grain Exchange

Eaves, James; Williams, Jeffrey - In: The review of financial studies 20 (2007) 4, pp. 1183-1218

Persistent link: https://www.econbiz.de/10003554515

Are Intraday Volume and Volatility U-Shaped after Accounting for Public Information?

Eaves, James - 2010

No matter how pronounced intraday patterns may appear, it is difficult to account for cross-correlations among related assets when those assets trade continuously and simultaneously. Futures contracts are auctioned periodically and sequentially on the Tokyo Grain Exchange (TGE). Even though...

Persistent link: https://www.econbiz.de/10013147208

Do traders strategically time their pledges during real-world Walrasian auctions?

Eaves, James; Williams, Jeffrey; Power, Gabriel J. - In: Journal of banking & finance 71 (2016), pp. 109-118

Persistent link: https://www.econbiz.de/10011635364

Are Intraday Volume and Volatility U-Shaped After Accounting for Public Information?

Eaves, James; Williams, Jeffrey - In: American Journal of Agricultural Economics 92 (2010) 1, pp. 212-227

Persistent link: https://www.econbiz.de/10009390716

Walrasian Tatonnement Auctions on the Tokyo Grain Exchange

Eaves, James; Williams, Jeffrey - In: The review of financial studies 20 (2007) 4, pp. 1183-1218

Persistent link: https://www.econbiz.de/10007755115

Walrasian Tatonnement Auctions on the Tokyo Grain Exchange

Eaves, James; Williams, Jeffrey - In: The review of financial studies 20 (2013) 4, pp. 1183-1182

Persistent link: https://www.econbiz.de/10010113806

Walrasian Tâtonnement Auctions on the Tokyo Grain Exchange

Eaves, James; Williams, Jeffrey - In: Review of Financial Studies 20 (2007) 4, pp. 1183-1218

The Tokyo Grain Exchange (TGE)’s itayose mechanism provides the opportunity to analyze functioning Walrasian tâtonnement auctions (WTA). In 15,677 auctions conducted over 1997–1998 for corn and redbean futures contracts, price formation is unexpectedly similar to that observed in continuous...

Persistent link: https://www.econbiz.de/10005743889