In this paper we empirically analyze the permanent price impact of trades by investigating the relation between unexpected net order flow and price changes. We use intraday data on German index futures. Our analysis based on a neural network model suggests that the assumption of a linear impact...

This paper provides results of an empirical study, adressing both the question of the efficiency of the DAX-fFuture market concerning its risk transfer function and the question of price leadership. For determining the pricing relationship between the futures and the cash market, co-integration...

In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...