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Frequent batch auctions and informed trading

Eibelshäuser, Steffen; Smetak, Fabian - 2022

of the FBA design removes the inefficiency by allowing traders to submit orders conditional on auction excess demand. …

Persistent link: https://www.econbiz.de/10013165302

Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy

Cafiso, Gianluca - 2015

deeper and more accurately these two findings by taking Italy as a case study. Our results question the so-called auction …

Persistent link: https://www.econbiz.de/10010519950

Information revelation in the Greek exchange opening call : daily and intraday evidence

Anagnostidis, Panagiotis; Kanas, Angelos; Papachristou, … - In: Journal of international financial markets, … 38 (2015), pp. 167-184

Persistent link: https://www.econbiz.de/10011475189

Three essays on market microstructure and price formation in agricultural commodity futures

Volkenand, Steffen - 2020

Persistent link: https://www.econbiz.de/10012630923

Volatility forecasting and time-varying variance risk premiums in grains commodity markets

Triantafyllou, Athanasios; Dotsis, George; Sarris, … - In: Journal of agricultural economics 66 (2015) 2, pp. 329-357

Persistent link: https://www.econbiz.de/10011299547

Hedging effectiveness of European wheat futures markets : an application of multivariate GARCH models

Zuppiroli, Marco; Revoredo Giha, César L. - In: International journal of applied management science 8 (2016) 2, pp. 132-148

Persistent link: https://www.econbiz.de/10011636094

The dynamics of hourly electricity prices

Härdle, Wolfgang; Trück, Stefan - 2010

The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in...