Filimonov, Vladimir; Bicchetti, David; Maystre, Nicolas; … - In: Journal of International Money and Finance 42 (2014) C, pp. 174-192
We propose a “reflexivity” index that quantifies the relative importance of short-term endogeneity for several commodity futures markets (corn, oil, soybean, sugar, and wheat) and a benchmark equity futures market (E-mini S&P 500), from mid-2000s to October 2012. Our reflexivity index is...
