IDEAS home Printed from https://ideas.repec.org/p/ags/n13415/285834.html
   My bibliography  Save this paper

Nearby and Deferred Quotes: What They Tell Us about Linkages and Adjustments to Information

Author

Listed:
  • Mallory, Mindy
  • Garcia, Philip

Abstract

Recently, the ‘Financialization’ of commodity futures markets, biofuel production, climate change and rising demand potentially have imposed profound shifts in the way commodity futures markets operate. This article examines commodity markets tick-by-tick and quote-by-quote to develop metrics on liquidity and transformation of information. The metrics are based on insights we combined from the sequential trading models on single securities, index futures based on a basket of securities, and special features of commodity futures markets. Correlation between quote revisions in nearby and deferred contracts measure information-based activity, and correlations between revisions of the time lagged nearby and deferred maturity measure the speed at which information is transmitted among the different futures maturities. Information based trading results in near perfect correlation between revisions to bids and offers in nearby and deferred contracts. Within one second information has been fully transmitted from nearby to deferred contracts.

Suggested Citation

Handle: RePEc:ags:n13415:285834
DOI: 10.22004/ag.econ.285834
as

Download full text from publisher

File URL: https://ageconsearch.umn.edu/record/285834/files/Mallory_Garcia_Serra_NCCC_134_2015.pdf
Download Restriction: no
File URL: https://libkey.io/10.22004/ag.econ.285834?utm_source=ideas
LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
---><---

More about this item

Keywords

;

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:n13415:285834. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://www.farmdoc.illinois.edu/nccc134/ .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.