The effects of amendments to Rule 80A on liquidity, volatility and price efficiency in the S&P 500 futures

Article Abstract:

Decrease in price volatility due to amendments to the New York Stock Exchange's Rule 80A is unsubstantiated. The S&P 500 index futures data of the Chicago Mercantile Exchange is analyzed and shows no marked trend in 80A events. Results indicate no appreciable delinkage between the S&P 500 index futures and cash index which would indicate increased price stability. Side-effects such as increased market volatility and marketmaker harm are not significantly apparent. Further research using a broader framework is recommended.

Analysis, Laws, regulations and rules, Accounting, Standard and Poor's 500-Stock Price Index, New York Stock Exchange Composite Index

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Scalper behavior in futures markets: an empirical examination

Article Abstract:

Scalping activity in futures markets of 12 different commodities is examined, and trading strategies used are studied. A way to identify scalpers, based on history of trading activity, is developed. Among results of the empirical study is the finding that the representative scalper set engages in little brokering and little speculating beyond their home markets. Some futures markets floor traders are found to gain significant income from activities consistent with the definition of scalping.

Noncommercial research organizations, Floor traders (Finance)

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Market making with price limits

Article Abstract:

The effect of daily price limits on commodity futures trading was studied using a market-making model. It was shown that traders behave differently during periods wherein price limits are set. The results indicated that traders hold their market positions during days when price limits have been reached. The findings suggest that futures market traders do not anticipate price movements and merely adjust their bids and offers in reaction to the present order flow.

Securities and Commodity Exchanges, Commodity Exchanges, Commodity futures, Futures

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