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.

Marketing procedures, Securities & Commodities Services, Securities, Commodity Contracts, and Other Financial Investments and Related Activities, Marketing, Securities industry, Company marketing practices, Hong Kong Futures Exchange Ltd.

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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.

Science & research, Research, Index participations, Report

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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.

United States, Securities Brokerage, Stock Brokerage, Analysis, Evaluation, Stockbrokers, Behavior, Influence, Stock price indexes, Linear systems, Stock markets, Stock market

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