Liquidity-Induced Dynamics in Futures Markets
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References listed on IDEAS
- Sanders, Dwight R. & Boris, Keith & Manfredo, Mark, 2004. "Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports," Energy Economics, Elsevier, vol. 26(3), pages 425-445, May.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cifarelli, Giulio & Paladino, Giovanna, 2011. "Hedging vs. speculative pressures on commodity futures returns," MPRA Paper 28229, University Library of Munich, Germany.
- Cifarelli, Giulio & Paladino, Giovanna, 2015. "A dynamic model of hedging and speculation in the commodity futures markets," Journal of Financial Markets, Elsevier, vol. 25(C), pages 1-15.
More about this item
KeywordsLiquidity; Futures Markets; Return Predictability; Volatility; Trader Positions; Directional Realized Volatility; Hedgers; Speculators; Position Bounds;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-12 (All new papers)
- NEP-ENE-2008-01-12 (Energy Economics)
- NEP-FMK-2008-01-12 (Financial Markets)
- NEP-MST-2008-01-12 (Market Microstructure)
- NEP-RMG-2008-01-12 (Risk Management)
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