the trading day than during the first or final hours. Purchase block trades induce relatively smaller price impact on … induce less price impact than in equity or conventional futures markets, and that a significant proportion of the effects … contradict findings on block trades in those markets; thus we provide the first evidence of the curious bent to block trading in …

&P500 futures have experienced increasing volatility persistence to shocks over the 1990s. In all remaining markets, hedgers … most futures returns in the 29 US markets were leptokurtic …

trading. The first part is a review of the literature to analyze work they have done to date others, then studied at 25 non …

We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically …

This article examines trading behavior in the options market conditioned on mispricing in the underlying stock. We … and observed stock prices, we argue the results are evidence of informed trading in the derivatives market …

model implying a negative linear relation between risk-free rates and variance futures prices. The latter are employed as a … futures prices written on the S&P 500 index, indicates that the predictions of the model are supported by the data. The paper …

We evaluate price discovery in the natural gas futures and futures options markets using a transaction based approach …. By sampling market maker prices, we allow for a distinction between buy and sell prices, both directly from the futures … market, and implied from the options market. Information shares are compared between futures and options markets as well as …

In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they …) and Gonzalo and Granger (1995) and find that the spot price leads the futures price. We attribute this result to the … higher trading volume and the longer trading hours of the globally distributed Bitcoin spot market, compared to the …

a financial market consisting of a bank account and a VIX futures. In order to have some benchmark model available, we … related VIX index, the VIX futures and a VIX call option …