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.

Stocks, Stock prices

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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.

Contracts & orders received, Contracts & orders let, Contracts, Contract agreement, Futures

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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.

United Kingdom, Futures market, Futures markets

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