The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...

The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...

This book examines the complexity of trading and the creation of liquidity. Titled after the Baruch College Financial Markets Conference, Equity Market Round-Up: Proposals for Strengthening the Markets, this book explores how regulation has a clear impact on market structure and, therefore, how...

Generalizing the idea that price momentum can be explained by different levels of uncertainty inherent in the information structure, we implement signal-specific differences in uncertainty in a Kyle type model of strategic trading. We derive the equilibrium in a single-auction setting as well as...

Preface -- List of Participants -- Conference Sponsors -- Chapter 1: Trading, Clearing, Custody and the Worldwide Evolution of Exchanges as Unique Organizations -- Chapter 2: Coping with Liquidity Provision -- Chapter 3: The View from Here -- Chapter 4: Coping with the Dynamics of a Continuous...