Brown, Scott; Koch, Timothy; Powers, Eric - In: Journal of Financial Research 32 (2009) 3, pp. 309-335
<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>Retail futures traders face uncertainty regarding the price they will obtain when trading. This price "surprise," known as slippage, can be substantial. Using unique data from an introducing brokerage for Chicago Board of Trade (CBOT) wheat, corn, and soybean futures contracts, we...