Information transmission in electronic versus open-outcry trading systems: an analysis of U.S. equity index futures markets
Article Abstract:
A study comparing the method of determining the intraday prices in regular floor trading and electronic trading is presented based on the United States equity index futures markets.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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Trading volume and transaction costs in futures market
Article Abstract:
The jointly determined relationship between trading volume and bid-ask spreads is formalized by estimating elasticities in a simultaneous-equation model. Evidence shows that trading volume is positively related to intraday price volatility and inversely related to bid-ask spreads, holding other factors controlled. Elasticities are also estimated for trading volume with respect to bid-ask spreads in the futures market, which is a variable component of transaction costs.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1997
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