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The Impact of HFT on the Speed of Adjustment to New Information : Evidence from Interest Rate Derivatives

Frino, Alex - 2020

This study investigates the impact of HFT on the intraday speed of adjustment and price discovery following scheduled macroeconomic announcements for interest rate derivatives. Our results demonstrate that the speed of adjustment to new information has been improved for both interest rate...

Persistent link: https://www.econbiz.de/10012850281

Large trades and intraday futures price behavior

Frino, Alex; Bjursell, Johan; Wang, George H. K.; … - In: The journal of futures markets 28 (2008) 12, pp. 1147-1181

Persistent link: https://www.econbiz.de/10003773147

The impact of electronic trading on bid-ask spreads : evidence from futures markets in Hong Kong, London, and Sydney

Aitken, Michael J.; Frino, Alex; Hill, Amelia M.; … - In: The journal of futures markets 24 (2004) 7, pp. 675-696

Persistent link: https://www.econbiz.de/10002108815

Differences in the cost of trade execution services on floor-based and electronic futures markets

Bortoli, Luke Gareth; Frino, Alex; Jarnecic, Elvis - In: Journal of financial services research : JFSR 26 (2004) 1, pp. 73-87

Persistent link: https://www.econbiz.de/10002120370

Derivative use, fund flows and investment manager performance

Frino, Alex; Lepone, Andrew; Wong, Brad - In: Journal of banking & finance 33 (2009) 5, pp. 925-933

Persistent link: https://www.econbiz.de/10003836457

Limit order book transparency, execution risk, and market liquidity : evidence from the Sydney futures exchange

Bortoli, Luke; Frino, Alex; Fung, Joseph K. W.; … - In: The journal of futures markets 26 (2006) 12, pp. 1147-1167

Persistent link: https://www.econbiz.de/10003392008

The pricing and efficiency of Australian treasury bond futures

Frino, Alex; He, William Peng; Lepone, Andrew - In: Australasian accounting business and finance journal : AABF 8 (2014) 2, pp. 3-14

Persistent link: https://www.econbiz.de/10010520035

The relationship between satellite and home market volumes : evidence from cross-listed Singapore futures contracts

Frino, Alex; Harris, Frederick H. deB.; Lepone, Andrew; … - In: Pacific-Basin finance journal 24 (2013), pp. 301-311

Persistent link: https://www.econbiz.de/10010346764

Slippage in futures markets : evidence from the Sydney futures exchange

Frino, Alex; Oetomo, Teddy - In: The journal of futures markets 25 (2005) 12, pp. 1129-1146

Persistent link: https://www.econbiz.de/10003244352

Price discovery in the pits : the role of market makers on the CBOT and the Sydney futures exchange

Frino, Alex; Harris, Frederick H. deB.; McInish, Thomas H. - In: The journal of futures markets 24 (2004) 8, pp. 785-804

Persistent link: https://www.econbiz.de/10002138812