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Price clustering in E‐mini and floor‐traded index futures
16 references·8 citing·51 second hop
Price clustering in E‐mini and floor‐traded index futures (2006)Price clustering in E‐mini and floor‐trad…Stock price clustering on option expiration dates (2005)Stock price clustering on opt…Price Dynamics in the Regular and E-Mini Futures Markets (2004)Price Dynamics in the Regular…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis (2003)Currency Orders and Exchange …Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Trading volume and transaction costs in futures markets (1997)Trading volume and transactio…Clustering and Competition in Asset Markets (1997)Clustering and Competition in…Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings (1997)Bid-ask spreads and the avoid…Price clustering on the Australian Stock Exchange (1996)Price clustering on the Austr…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes? (1994)Why Did NASDAQ Market Makers …Stock Price Clustering and Discreteness (1991)Stock Price Clustering and Di…A Theory of Trading Volume (1986)A Theory of Trading VolumeThe degree of price resolution: The case of the gold market (1985)The degree of price resolutio…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Specification Tests in Econometrics (1978)Specification Tests in Econom…Intraday patterns of price clustering in Bitcoin (2022)Intraday patterns of price cl…Price clustering in Bitcoin market—An extension (2018)Price clustering in Bitcoin m…Clustering of Trade Prices by High‐Frequency and Non–High‐Frequency Trading Firms (2014)Clustering of Trade Prices by…The spillover effects of the sub-prime mortgage crisis and optimum asset allocation in the BRICV stock markets (2013)The spillover effects of the …Price clustering in Australian water markets (2011)Price clustering in Australia…Electronic vs. Open Outcry: Side-by-Side Trading of KCBT Wheat Futures (2010)Electronic vs. Open Outcry: S…Electronic versus open outcry trading in agricultural commodities futures markets (2010)Electronic versus open outcry…Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets (2008)Tick size reduction, executio…A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Presidential Address: Friction (2000)The Cost of Transacting (1968)THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)Competing Mechanisms in a Common Value Environment (2000)Liquidity in Asset Markets With Search Frictions (2009)What happened to the quants in August 2007? Evidence from factors and transactions data (2010)Liquidity and Market Structure (1988)Trading and Exchanges: Market Microstructure for Practitioners (2002)The Determinants of Underpricing for Seasoned Equity Offers (2003)Realized Volatility: A Review (2008)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)Market reaction to anticipated announcements (1991)Pre-announcement and event-period private information (1997)Tweets and Trades: the Information Content of Stock Microblogs (2013)The Strategy of Conflict (1960)On the Estimation of Security Price Volatilities from Historical Data (1980)On the Impossibility of Informationally Efficient Markets (1980)Gold and oil futures markets: Are markets efficient? (2010)The financial economics of gold — A survey (2015)Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices (2020)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)What really causes large price changes? (2004)Arbitrage in the Foreign Exchange Market: Turning on the Microscope (2006)Institutional Investors, Past Performance, and Dynamic Loss Aversion (2009)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)There is a risk-return trade-off after all (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Stock Market Volatility and Macroeconomic Fundamentals (2012)Theory of Financial Decision Making. 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this work references cited by second hop

References

  • 1978Specification Tests in Econometrics18,788 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1991Stock Price Clustering and Discreteness576 cited
  • 1986A Theory of Trading Volume567 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 1994Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?343 cited
  • 1985The degree of price resolution: The case of the gold market246 cited
  • 2003Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis227 cited
  • 2005Stock price clustering on option expiration dates191 cited
  • 1997Clustering and Competition in Asset Markets147 cited
  • 1997Trading volume and transaction costs in futures markets137 cited
  • 1997Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings128 cited
  • 1996Price clustering on the Australian Stock Exchange108 cited

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2004
Price Dynamics in the Regular and E-Mini Futures Markets
105 cited

Cited by

  • 2018Price clustering in Bitcoin market—An extension34 cited
  • 2008Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets31 cited
  • 2010Electronic versus open outcry trading in agricultural commodities futures markets29 cited
  • 2010Electronic vs. Open Outcry: Side-by-Side Trading of KCBT Wheat Futures28 cited
  • 2014Clustering of Trade Prices by High‐Frequency and Non–High‐Frequency Trading Firms27 cited
  • 2013The spillover effects of the sub-prime mortgage crisis and optimum asset allocation in the BRICV stock markets22 cited
  • 2022Intraday patterns of price clustering in Bitcoin21 cited
  • 2011Price clustering in Australian water markets20 cited