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Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets
Citations
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- Locke, Peter R. & Sarajoti, Pattarake, 2004. "Aggressive dealer pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 559-573, September.
- Chelley-Steeley, Patricia & Park, Keebong, 2011. "Intraday patterns in London listed Exchange Traded Funds," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 244-251.
- Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004.
"How do UK-based foreign exchange dealers think their market operates?,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 289-306.
- Cheung, Yin-Wong & Chinn, Menzie David & Marsh, Ian W, 1999. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," CEPR Discussion Papers 2230, C.E.P.R. Discussion Papers.
- Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2000. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," NBER Working Papers 7524, National Bureau of Economic Research, Inc.
- Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
- Anatoli Kuprianov, 1998. "Money market futures," Monograph, Federal Reserve Bank of Richmond, number 1998mm.
- Peter Locke & Asani Sarkar, 1996. "Volatility and liquidity in futures markets," Research Paper 9612, Federal Reserve Bank of New York.
- Raymond M. Leuthold, 1994. "Evaluating Futures Exchanges in Liberalising Economies," Development Policy Review, Overseas Development Institute, vol. 12(2), pages 149-164, June.
- Cornett, Marcia Millon & Schwarz, Thomas V. & Szakmary, Andrew C., 1995. "Seasonalities and intraday return patterns in the foreign currency futures market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 843-869, August.
- Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1997. "Estimating the adverse selection cost in markets with multiple informed traders," Research Paper 9713, Federal Reserve Bank of New York.
- Oscar Jorda & Holly Liu & Jeffrey Williams, 2003. "Non-Institutional Market Making Behavior: The Dalian Futures Exchange," Working Papers 41, University of California, Davis, Department of Economics.
- Oscar Jorda & Holly Liu & Jeffrey Williams, 2003. "Non-Institutional Market Making Behavior: The Dalian Futures Exchange," Working Papers 24, University of California, Davis, Department of Economics.
- Anatoli Kuprianov, 1986. "Short-term interest rate futures," Economic Review, Federal Reserve Bank of Richmond, vol. 72(Sep), pages 12-26.
- Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998. "Estimating the adverse selection and fixed costs of trading in markets with multiple informed traders," Research Paper 9814, Federal Reserve Bank of New York.
- Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.
- Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovespian & Jacob Tolk & Ionut Florescu, 2009.
"'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 268-279.
- Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovsepian & Jacob Tolk & Ionut Florescu, 2009. "'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 1-1.
- Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob, 2008. "'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," MPRA Paper 14814, University Library of Munich, Germany.
- Xinyue He & Teresa Serra & Philip Garcia, 2021. "Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 743-764, March.
- James T. Moser, 2002.
"The immediacy implications of exchange organization,"
Working Paper Series
WP-02-09, Federal Reserve Bank of Chicago.
- James T. Moser, 2002. "The Immediacy Implications of Exchange Orgzanization," Center for Financial Institutions Working Papers 02-11, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Naomi Boyd, 2015. "Market making and risk management in options markets," Review of Derivatives Research, Springer, vol. 18(1), pages 1-27, April.
- Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2019. "Taming models of prospect theory in the wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series 146, Leibniz Institute for Financial Research SAFE, revised 2019.
- Smith, Tom & Whaley, Robert E, 1994. "Assessing the Costs of Regulation: The Case of Dual Trading," Journal of Law and Economics, University of Chicago Press, vol. 37(1), pages 215-246, April.
- Bryant, Henry L. & Haigh, Michael S., 2002. "Bid-Ask Spreads In Commodity Futures Markets," Working Papers 28587, University of Maryland, Department of Agricultural and Resource Economics.
- Moustafa Abuelfadl, 2017. "Individual Foreign Exchange Investors, Return Predictability And Market Timing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-28, March.
- Orly Sade & Roy Stein & Zvi Wiener, 2018.
"Israeli Treasury Auction Reform,"
Israel Economic Review, Bank of Israel, vol. 16(1), pages 41-61.
- Orly Sade & Roy Stein & Zvi Wiener, 2013. "Israeli Treasury Auction Reform," Bank of Israel Working Papers 2013.09, Bank of Israel.
- Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
- Bryant, Henry L. & Haigh, Michael S., 2001. "Estimating Actual Bid-Ask Spreads In Commodity Futures Markets," 2001 Annual meeting, August 5-8, Chicago, IL 20707, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- James L. Swofford, 1999. "Arbitrage, Speculation, and Public Policy Toward Ticket Scalping," Public Finance Review, , vol. 27(5), pages 531-540, September.
- Frino, Alex & Johnstone, David & Zheng, Hui, 2004. "The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior?," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 353-372, February.
- Fong, Kingsley & Zurbruegg, Ralf, 2003. "How much do locals contribute to the price discovery process?," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 305-320, May.
- Anatoli Kuprianov, 1992. "Money market futures," Economic Review, Federal Reserve Bank of Richmond, vol. 78(Nov), pages 19-37.
- Zi Ning & Yiuman Tse, 2009. "Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1-2), pages 230-252.
- Jordan, James V. & Seale, William E. & Dinehart, Steve & Kenyon, David E., 1988. "The Intraday Variability Of Soybean Futures Prices: Information And Trading Effects," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270296, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Hun Y. Park & Asani Sarkar & Lifan Wu, 1998. "Do Brokers Misallocate Customer Trades? Evidence From Futures Markets," Finance 9801002, University Library of Munich, Germany.
- Zi Ning & Yiuman Tse, 2009. "Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1‐2), pages 230-252, January.
- Estelle Cantillon & Pai-Ling Yin, 2008. "Asymmetric Network Effects," Working Papers 08-42, NET Institute.
- Anand, Amber & Karagozoglu, Ahmet K., 2006. "Relative performance of bid-ask spread estimators: Futures market evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 231-245, July.
- Silber, William L., 2005. "What happened to liquidity when world war I shut the NYSE?," Journal of Financial Economics, Elsevier, vol. 78(3), pages 685-701, December.
- Frino, Alex & Jarnecic, Elvis, 2000. "An empirical analysis of the supply of liquidity by locals in futures markets: Evidence from the Sydney Futures Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 443-456, July.
- Alexis Derviz, 2003. "Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market," Working Papers 2003/04, Czech National Bank.
- Chow, Edward H. & Lee, Jie-Haun & Shyy, Gang, 1996. "Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1695-1713, December.