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Maximum Order Size and Agricultural Futures Market Quality: Evidence from a Natural Experiment

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  • Peng, Kun
  • Hu, Zhepeng
  • Robe, Michel A.

Abstract

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Suggested Citation

  • Peng, Kun & Hu, Zhepeng & Robe, Michel A., 2020. "Maximum Order Size and Agricultural Futures Market Quality: Evidence from a Natural Experiment," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304596, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea20:304596
    DOI: 10.22004/ag.econ.304596
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    References listed on IDEAS

    as
    1. Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011. "Does Algorithmic Trading Improve Liquidity?," Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, February.
    2. Conrad, Jennifer & Wahal, Sunil & Xiang, Jin, 2015. "High-frequency quoting, trading, and the efficiency of prices," Journal of Financial Economics, Elsevier, vol. 116(2), pages 271-291.
    3. Zhepeng Hu & Teresa Serra & Philip Garcia, 2020. "Algorithmic quoting, trading, and market quality in agricultural commodity futures markets," Applied Economics, Taylor & Francis Journals, vol. 52(58), pages 6277-6291, December.
    4. Anabelle Couleau & Teresa Serra & Philip Garcia, 2019. "Microstructure Noise and Realized Variance in the Live Cattle Futures Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(2), pages 563-578.
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