Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns
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More about this item
KeywordsIntraday non-linearities; Dynamic Spillovers; Electronic Trading Systems; Price Discovery Process; Cost of Carry Model; Regime Switching Model; Vector Error Correction Mechanism; SETAR Model;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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