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USDA Announcement Effects in Real‐Time
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USDA Announcement Effects in Real‐Time (2018)USDA Announcement Effects in Real‐TimeIntraday market effects in electronic soybean futures market during non-trading and trading hour announcements (2017)Intraday market effects in el…The Economics of High-Frequency Trading: Taking Stock (2016)The Economics of High-Frequen…A Nonparametric Search for Information Effects from USDA Reports (2015)A Nonparametric Search for In…Gone in Ten Minutes: Intraday Evidence of Announcement Effects in the Electronic Corn Futures Market (2014)Gone in Ten Minutes: Intraday…The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The High-Frequency Trading Ar…The Behavior of Bid‐Ask Spreads in the Electronically‐Traded Corn Futures Market (2013)The Behavior of Bid‐Ask Sprea…Nudging Ourselves? The Limits of Incentivizing “Good Behavior” (2013)Nudging Ourselves? The Limits…Quantifying the WASDE Announcement Effect (2012)Quantifying the WASDE Announc…The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports (2008)The Impact of Situation and O…Pre‐Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures (2008)Pre‐Harvest Price Expectation…Daily futures price changes and non-linear dynamics (1994)Daily futures price changes a…The effects of USDA reports in futures and options markets (1993)The effects of USDA reports i…Are Harvest Forecasts News? USDA Announcements and Futures Market Reactions (1989)Are Harvest Forecasts News? U…Theory of the Inverse Carrying Charge in Futures Markets (1948)Theory of the Inverse Carryin…Cross Hedging (1981)The theory and practice of econometrics (1986)Options, Futures, and Other Derivative Securities. (1990)The Value of USDA Situation and Outlook Information in Hog and Cattle Markets (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Contemporaneous interactions among fuel, biofuel and agricultural commodities (2016)Estimating the Location of World Wheat Price Discovery (2017)Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread? (2019)The Price Variability-Volume Relationship on Speculative Markets (1983)Orange Juice and Weather (1984)The value of public information in commodity futures markets (1997)The Food Crises: A Quantitative Model of Food Prices Including Speculators and Ethanol Conversion (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)What To Do (and Not to Do) with Time-Series Cross-Section Data (1995)Forecast performance of WASDE price projections for U.S. corn (2015)Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets (2020)Weather shocks, traders' expectations, and food prices (2021)Continuous Auctions and Insider Trading (1985)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)The Econometrics of Financial Markets (2012)Surprise and dispersion: informational impact of USDA announcements (2018)Asset pricing and the bid-ask spread (1986)Efficient Tests for an Autoregressive Unit Root (1996)Econometric Analysis of Cross Section and Panel Data (2001)Heterogeneous traders, liquidity, and volatility in crude oil futures market (2017)The components of the bid‐ask spread: Evidence from the corn futures market (2018)Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market (1992)Market efficiency in agricultural futures markets (2002)Social Value of Public Information (2002)Are Intraday Volume and Volatility U‐Shaped After Accounting for Public Information? (2010)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Middlemen in Limit Order Markets (2010)High-Frequency Trading around Large Institutional Orders (2015)Need for Speed? Exchange Latency and Liquidity (2017)Backwardation in Oil Futures Markets: Theory and Empirical Evidence (1995)Asset storability and price discovery in commodity futures markets: A new look (2001)Modeling seasonality in agricultural commodity futures (2002)
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References

  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 1948Theory of the Inverse Carrying Charge in Futures Markets327 cited
  • 2016The Economics of High-Frequency Trading: Taking Stock294 cited
  • 1989Are Harvest Forecasts News? USDA Announcements and Futures Market Reactions115 cited
  • 2012Quantifying the WASDE Announcement Effect94 cited
  • 1993The effects of USDA reports in futures and options markets85 cited
  • 2008The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports82 cited
  • 2014Gone in Ten Minutes: Intraday Evidence of Announcement Effects in the Electronic Corn Futures Market68 cited
  • 2008Pre‐Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures67 cited
  • 2013The Behavior of Bid‐Ask Spreads in the Electronically‐Traded Corn Futures Market45 cited
  • 1994Daily futures price changes and non-linear dynamics27 cited
  • 2015A Nonparametric Search for Information Effects from USDA Reports25 cited
  • 2017Intraday market effects in electronic soybean futures market during non-trading and trading hour announcements22 cited
  • 2013Nudging Ourselves? The Limits of Incentivizing “Good Behavior”9 cited

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