impact of volume on liquidity costs. Volatility of futures prices and volume per trade are positively related to liquidity …This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat … futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market …

Estimation of liquidity costs in agricultural futures markets is challenging because bid-askspreads are usually not … liquidity cost model. The Bayesian estimator tracks Roll’s model relativelywell except when the level of noise in the market is … common inagricultural futures markets. We also compute liquidity costs using data for hogs and cattlefutures contracts …

The major finding is that liquidity costs in futures options market are two to three times higher thanliquidity costs … in the futures market. Liquidity cost is one potential factor to consider when choosingbetween hedging with a futures … contract or with an option contract. While there is considerable researchthat estimates liquidity costs of futures trading …

of price discovery and this leadership is caused by relative trade size and volatility before the financial crisis of … market. The second chapter examines the influence of expected oil price volatility, the behavior of the Organization of … Petroleum Exporting Countries (OPEC), and the US Dollar exchange rate volatility on the backwardation of crude oil futures …

This paper investigates the effect of the introduction of exchange-traded funds (ETFs) on the liquidity of individual …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems … uncertainty with liquidity, we specify a simple market where a monopolist financial intermediary makes a market for a propriety … liquidity. Our infinite-horizon example produces short, dramatic decreases in liquidity even though the underlying environment …

algorithms are documented that can be rectified by recognizing that the impact on liquidity is the fundamental characteristic … underlying order placement. Although this liquidity-based method is difficult to implement, it more closely captures the actual …

the liquidity level of derivative markets and economic growth in the cases of developed countries indicates that the risk … transfer function of the derivative markets is a contribution to economic growth. We find the liquidity level of underlying … liquidity in the underlying spot market, derivative trading can be sustained. …