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Estimating the location of world wheat price discovery
Janzen, Joseph P.; Adjemian, Michael K. - In: American journal of agricultural economics 99 (2017) 5, pp. 1188-1207
Persistent link: https://www.econbiz.de/10011946580
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The order flow cost of index rolling in commodity futures markets
Irwin, Scott H.; Sanders, Dwight R.; Yan, Lei - In: Applied economic perspectives and policy 45 (2023) 2, pp. 1025-1050
Persistent link: https://www.econbiz.de/10014315487
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Price discovery in spot and futures markets : a reconsideration
Theissen, Erik - In: The European journal of finance 18 (2012) 9/10, pp. 969-987
Persistent link: https://www.econbiz.de/10009691772
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Die Mikrofundierung von Futures-Märkten
Auer, Ulrich von - 2000
Persistent link: https://www.econbiz.de/10001431424
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Who influences the fundamental value of commodity futures in Japan?
Iwatsubo, Kentaro; Watkins, Clinton - In: International review of financial analysis 67 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012299118
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Limit order books, uninformed traders and commodity derivatives : insights from the European carbon futures
Rannou, Yves - In: Economic modelling 81 (2019), pp. 387-410
Persistent link: https://www.econbiz.de/10012202116
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Bitcoin Spot and Futures Market Microstructure
Aleti, Saketh - 2020
We study Bitcoin (BTC) trading at the CME and four settlement spot exchanges that transact $146 million per day in the BTC/USD pair. Spot market median trade sizes are under $1,300 but exceed $18,000 on the CME. Bid-ask spreads average 0.0298%.Trade sizes of over $1 million move markets by less...
Persistent link: https://www.econbiz.de/10012847609
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Order book price impact in the Chinese soybean futures market
Jin, Muzhao; Kearney, Fearghal; Li, Youwei; Yang, Yung … - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 606-625
Persistent link: https://www.econbiz.de/10014253242
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Price discovery of the Chinese crude oil options and futures markets
Zou, Mi; Han, Lin; Yang, Zhini - In: Finance research letters 60 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10014490178
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The split of the S&P 500 contract : effects on liquidity and market dynamics
Karagozoglu, Ahmet K.; Martell, Terrence F.; Wang, … - In: Review of quantitative finance and accounting 21 (2003) 4, pp. 323-348
Persistent link: https://www.econbiz.de/10001857725