This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat … futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market … than in the open outcry market. A new approach is used to estimate liquidity costs which eliminates bias resulting from …

This study compares liquidity costs of electronic and open-outcry wheat futures contractstraded side-by-side on the … Kansas City Board of Trade. Liquidity costs are considerablylower in the electronic market. Liquidity costs in the electronic ….Price volatility and transaction size are positively related to liquidity costs, while a negativerelation is found between daily volume …

Computerprogramme den Menschen im Wertpapierhandel ersetzen. Sie helfen dabei Investmententscheidungen zu treffen oder Transaktionen … untersucht daher die Forschungsfrage, ob sich Aussagen über computergesteuerten Wertpapierhandel (kurz: Algorithmic Trading) aus …

In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …

Estimation of liquidity costs in agricultural futures markets is challenging because bid-askspreads are usually not … liquidity cost model. The Bayesian estimator tracks Roll’s model relativelywell except when the level of noise in the market is … common inagricultural futures markets. We also compute liquidity costs using data for hogs and cattlefutures contracts …

liquidity can split in two directions. The immediate effect is the shock after the news, causing stock liquidity to decrease …This thesis aims to investigate the influence of earnings news on stock liquidity and the relationship between … part of empirical work, the univariate panel analysis, shows that price reaction, volume response and liquidity effect are …

The major finding is that liquidity costs in futures options market are two to three times higher thanliquidity costs … in the futures market. Liquidity cost is one potential factor to consider when choosingbetween hedging with a futures … contract or with an option contract. While there is considerable researchthat estimates liquidity costs of futures trading …

We study equilibrium trading strategies, market liquidity, and price efficiency in an economy in which a fraction of … lower and (because of procyclical subjective loss probabilities)countercyclical adverse selection-based market liquidity and … public news aboutthe traded asset’s terminal payoff improves market liquidity and price efficiency and makes such improvement …

bigger resistance of liquidity to the global financial crisis and which factors weighted it. In the theoretic part is … analyzing interface between liquidity and factors of the markets, firms and macroeconomic. In the second part of paper is … represented research methodology. First of all, is calculating resistance of liquidity through 2005 – 2010 years and compare …