A model of price discovery and market design: Theory and empirical evidence
Article Abstract:
An essential function of derivative markets is price discovery. A model is proposed to incorporate a comprehensive dynamic interaction between price size coordinates of orders and trades. An example of application of the model and its effect on price discovery is discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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Is it time to reduce the minimum tic sizes of the E-mini futures?
Article Abstract:
The effect of the current minimum tick sizes of the E-mini S&P 500 and E-mini Nasdaq-100 futures contracts on the bid-ask spread is discussed and analyzed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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Intradaily periodicity and volatility spillovers between international stock index futures markets
Article Abstract:
The short run information transmission between the U.S and U.K. markets using the S&P 500 and FTSE 100 index futures is examined.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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