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Market quality and price discovery: Introduction of the E-mini energy futures
16 references·0 citing·39 second hop
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 2002Price discovery and common factor models546 cited
  • 2002Trading and Exchanges: Market Microstructure for Practitioners517 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems426 cited
  • 2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks305 cited
  • 1999Price discovery in the German equity index derivatives markets298 cited
  • 1999The relationship between spot and futures prices: Evidence from the crude oil market290 cited
  • 2002The Quality of ECN and Nasdaq Market Maker Quotes286 cited
  • 1994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis283 cited

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  • 1997A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks279 cited
  • 2002Some desiderata for the measurement of price discovery across markets260 cited
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