and ten years of daily data. Our work addresses price behaviour following new entry signals by studying whether, for short … market (long or short). For example, we want to know how long we should hold or delay a trade before the price is expected to …

-induced price adjustments are found to be driven by systematic speculative behaviour and are determined to be significant. …

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information … has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … market expectation of the price of the underlying asset. Although this expectation in principle may be recovered by adjusting …