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Program Trading and Intraday Volatility

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References

1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited
1989S&P 500 Cash Stock Price Volatilities262 cited
1987Program Trading and Expiration-Day Effects207 cited
1989The October 1987 S&P 500 Stock-Futures Basis162 cited
1996New York Stock Exchange Systems and Trading Procedures122 cited
1993Index Arbitrage Profitability77 cited

Cited by

1996Order characteristics and stock price evolution An application to program trading63 cited
2001The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks59 cited
1995New trading practices and short‐run market efficiency53 cited
1993Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test50 cited
2010Order characteristics and the sources of commonality in prices and liquidity47 cited
2006Order Flow and Prices44 cited
2002

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The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship

38 cited

1997Index Futures Trading and Stock Return Volatility: Evidence from the Introduction of Mid Cap 400 Index Futures38 cited

2011Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?32 cited

2006Order Imbalance and the Pricing of Index Futures23 cited