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The Market Microstructure of the European Climate Exchange · Study

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ArticleThe Market Microstructure of the European Climate Exchange

Yoichi Otsubo2014

OA

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The Market Microstructure of the European Climate Exchange

Yoichi Otsubo · Bruce Mizrach

79 citations·0/0 files stored·Open Repository and Bibliography (University of Luxembourg)

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Financial Markets and Investment Strategies Stochastic processes and financial applications Finance, Markets, and Regulation

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References

1985Continuous Auctions and Insider Trading 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1988Testing for Common Trends 1991Measuring the Information Content of Stock Trades 1995One Security, Many Markets: Determining the Contributions to Price Discovery 1988Estimating the components of the bid/ask spread 1995Estimation of Common Long-Memory Components in Cointegrated Systems 1997The Components of the Bid-Ask Spread: A General Approach

Cited by

2016Politics matters: Regulatory events as catalysts for price formation under cap-and-trade 2022Convolutional neural network forecasting of European Union allowances futures using a novel unconstrained transformation method 2014The timeline of trading frictions in the European carbon market 2014Futures trading with information asymmetry and OTC predominance: Another look at the volume/volatility relations in the European carbon markets 2021Does herding behavior exist in China's carbon markets?

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2014The timeline of trading frictions in the European carbon marketarticle · 10 shared references 2007Relation between bid–ask spread, impact and volatility in order-driven marketsarticle · 9 shared references 2005Market microstructure: A survey of microfoundations, empirical results, and policy implicationsarticle · 8 shared references 2014The Empirical Analysis of Liquidityarticle · 8 shared references 2007Information shares in the US Treasury marketarticle · 8 shared references 199622 Modeling market microstructure time serieschapter · 8 shared references

Details

Year2014

Typearticle

Published2014-02-01

VenueOpen Repository and Bibliography (University of Luxembourg)

Languageen

Citations79

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2013.11.001

openalex_workW3124890924

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2015

Why do carbon prices and price volatility change?

2021Assessing market efficiency and liquidity: Evidence from China's emissions trading scheme pilots

2015Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?

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