Intraday behavior of market depth in a competitive dealer market: a note

Article Abstract:

The intraday behavior of quoted depth on a competitive dealer market is studied. Quoted depth is lowest at the start of trading, flat in the middle of the day, and increases sharply toward the end of the trading day. Dealers rebalancing inventories drive the increase in depth at the close.

Science & research, Security and commodity exchanges, Research, Stock-exchange, Stock exchanges, Securities trading

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Transactions in futures markets: informed or uninformed?

Article Abstract:

Information content in institutional transactions in futures markets is studied using a data set from the Sydney Futures Exchange. Transactions in futures markets do not convey information and these transactions are done by uninformed traders.

General services, Company systems management, Information management

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Slippage in futures markets: Evidence from the Sydney Futures Exchange

Article Abstract:

Slippage, the market impact cost of trades executed in futures market, is examined by using data provided by Sydney Futures Exchange.

Security brokers and dealers, Securities & Commodities Services, Securities, Commodity Contracts, and Other Financial Investments and Related Activities, Labor Distribution by Employer, Statistics, Securities industry, Sydney Futures Exchange

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