Information content of extended trading for index futures
Article Abstract:
The effect of extending the trading hours of futures market is discussed in context of Hong Kong Futures Exchange extending the trading time of Hang Seng Index Futures. The possibility that extending trading sessions widens trading opportunities for private information is also examined. The various models regarding the same are also discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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Order imbalance and the dynamics of index and futures prices
Article Abstract:
The effect of stock market order imbalance on the dynamic behavior of index and futures prices is studied using transaction records of index futures and index stocks. Order imbalance blocks error correction when the impact of order imbalance is opposite that of the error correction force.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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Non linear dynamics and competing behavioral interpretations: evidence from intra-day FTSE-100 Index and futures data
Article Abstract:
The potential non-linear dynamics in stock trading and its influence on competing behavior of stock traders is evaluated, by using intraday trading data at FTSE (Frankfurt Stock Exchange)-100 Index.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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