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Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets · Study

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ArticleTrading noise, adverse selection, and intraday bid‐ask spreads in futures markets

Christopher K. Ma1992

Article1992

Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets

Christopher K. Ma · Richard L. Peterson · R. Stephen Sears

55 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1988A Theory of Intraday Patterns: Volume and Price Variability 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1968The Cost of Transacting 1983Information Effects on the Bid-Ask Spread 1986Stock return variances 1988Estimating the components of the bid/ask spread

Cited by

1998Liquidity in the Futures Pits: Inferring Market Dynamics with Incomplete Data 1999The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis 2004Bid–ask spreads in commodity futures markets 1998Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong 1995The failure of the mortgage‐backed futures contract 2005Execution quality in open-outcry futures markets

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2003Market Microstructurechapter · 17 shared references 1999Symposium on Market Microstructure: A Review of Empirical Researcharticle · 16 shared references 2004A Review of Trading Cost Modelsarticle · 15 shared references 199622 Modeling market microstructure time serieschapter · 13 shared references 2000Government Intervention and Adverse Selection Costs in Foreign Exchange Marketsarticle · 12 shared references 1994An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures marketarticle · 12 shared references

Details

Year1992

Typearticle

Published1992-10-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations55

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990120504

openalex_workW2017950745

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