Results 11 to 20 of about 774,570 (356)
Risks, 2021 This paper examines the relative contribution of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the Chicago Mercantile Exchange (CME), using intraday data in 2010.The relative contribution to price discovery is ...
Jatin Malhotra, Angelo Corelli
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Mathematics, 2021 Given the existence of different databases from different sources that offer information on forward electricity prices, the need to compare them arises to guarantee that research results and trading decisions based on them are not sensitive to the ...
Ángela Coronado +2 more
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Agricultural Economics (AGRICECON), 2023 Emerging economies often establish commodity futures markets to discover price signals, manage price risks and improve market integration, but establishing a futures market may not be feasible for agricultural perishables. In this study, we evaluated the
Qianqian Mao +3 more
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Time varying price discovery [PDF]
Economics Letters, 2013 We show how multivariate GARCH models can be used to generate a time-varying “information share” (Hasbrouck, 1995) to represent the changing patterns of price discovery in closely related securities. We find that time-varying information shares can improve credit spread predictions.
Avino, Davide +2 more
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Strategic Behavior and Price Discovery [PDF]
The RAND Journal of Economics, 2001 The paper analyzes the effects of strategic behavior by an insider in a price discovery process, akin to an information tatonnement, in the presence of a competitive informed sector. Such processes are used in the preopening period of continuous trading systems in several exchanges. It is found that the insider manipulates the
Medrano, Luis Angel, Vives, Xavier
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Price Discovery in Agricultural Markets
American Business Review, 2020 In this study, we empirically analyze the contribution of futures markets to the price discovery process for seven agricultural commodities using the generalized information share proposed by Lien and Shrestha (2014) and component share based on the ...
Keshab Shrestha +2 more
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A discussion with Vernon Smith on the Classics, Marx, and Sraffa
PSL Quarterly Review, 2023 This paper is a revised version of a discussion with Nobel laureate Vernon Smith on the limits of neoclassical theory and on the opportunity to recover the alternative approach of classical economists and Marx.
Emiliano Brancaccio
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Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis [PDF]
, 2004 This paper studies the role that trading activity plays in the price discovery process of a NYSE-listed stock. We measure the expected information content of each trade by estimating its permanent price impact. It depends on observable trade features and
Escribano, Álvaro +2 more
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Price Discovery in Cryptocurrency Markets [PDF]
AEA Papers and Proceedings, 2019 We ask which markets drive bitcoin prices and how price discovery happens across different exchanges. Does the greater exuberance for cryptocurrencies outside the United States affect prices only on local markets or does it impact price formation on global cryptocurrency markets?
Makarov, Igor, Schoar, Antoinette
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Price Discovery of Agri Commodities: An Integrated Approach
Финансы: теория и практика, 2022 The purpose of this paper is to examine how the introduction of the pan-India electronic trading portal (eNAM) impacted the information transmission and price discovery in informationally linked markets of India for agricultural commodities.
A. Mishra, R. P. Kumar
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