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.

United States, Security and commodity exchanges, Stock-exchange, Stock exchanges, Comparative analysis, Stock price indexes

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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.

Commodity Contracts Dealing, Commodity contracts brokers, dealers, Commodity Brokers, Research, Analysis, Futures market, Futures markets, Elasticity (Economics)

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