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Interdealer Inference and Price Discovery
SSRN Electronic Journal, 2006AbstractFutures floor dealers are investigated in terms of their joint product of price discovery. A vector error correction model is estimated using floor trader proprietary prices, examining the resulting information shares and common factor components.
Tzu‐man Huang, Peter Locke
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SSRN Electronic Journal, 2020
We consider a market where traders have asymmetric information regarding the distribution of asset return and study price discovery of derivatives. The informed trader has private information regarding arbitrary higher moments of asset return, such as volatility or skewness, and exploits her private information by trading a complete menu of options ...
Semyon Malamud +2 more
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We consider a market where traders have asymmetric information regarding the distribution of asset return and study price discovery of derivatives. The informed trader has private information regarding arbitrary higher moments of asset return, such as volatility or skewness, and exploits her private information by trading a complete menu of options ...
Semyon Malamud +2 more
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Latency, Liquidity and Price Discovery
SSRN Electronic Journal, 2011Abstract The speed of trading is an important factor in modern security markets, although relatively little is known about the effect of speed on liquidity and price discovery, two important aspects of market quality. On April 23, 2007, Deutsche Boerse made an important upgrade to their trading system.
Riordan, Ryan, Storkenmaier, Andreas
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Price discovery for competing currency numeraires
SSRN Electronic Journal, 2022For many countries, information in FX markets about the fundamentals of their economies is reduced to two relevant and competing channels, namely, their currency's exchange rate with either the euro or the US dollar. In light of this, this paper presents an analysis which can help establishing which one of these two currency numeraires drives the price
Longarela, Iñaki Rodríguez +1 more
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Economic Record, 1992
This paper analyzes two price discovery processes: OLS learning from public information and a Bayesian learning made feasible by futures markets. The former tends to produce cobweb behaviour. In the latter, there is no cobweb, there is a faster convergence to Muth Rational Expectations, and the forecast errors are positively serially correlated The ...
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This paper analyzes two price discovery processes: OLS learning from public information and a Bayesian learning made feasible by futures markets. The former tends to produce cobweb behaviour. In the latter, there is no cobweb, there is a faster convergence to Muth Rational Expectations, and the forecast errors are positively serially correlated The ...
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Price discovery in emerging market ETFs
Applied Economics, 2020Over the last two decades, exchange traded funds (ETFs) have become a preferred investment vehicle to make directional market bets due to their low costs and high liquidity. Moreover, due to the arbitrage activities of authorized participants, prices of ETFs do not deviate materially from the prices of their underlying securities. As a result, ETFs may
Yigit Atilgan +3 more
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International Review of Financial Analysis, 2012
Abstract This paper investigates the influence of sentimental noise traders on the security price adjustment. We use De Long et al.'s (1990) definition of noise traders, who falsely believe they have special information, to extend Easley and O'Hara's (1992) seminal model.
Gady Jacoby, Rose C. Liao
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Abstract This paper investigates the influence of sentimental noise traders on the security price adjustment. We use De Long et al.'s (1990) definition of noise traders, who falsely believe they have special information, to extend Easley and O'Hara's (1992) seminal model.
Gady Jacoby, Rose C. Liao
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Price Discovery in Government Bond Markets [PDF]
SSRN Electronic Journal, 2011 Abstract Price discovery in government bond markets is explored using Norwegian data including trades from both tiers of the market and dealer identities. The results show that while aggregate interdealer order flow explains one-fourth of daily yield changes, aggregate customer order flow has little explanatory power.
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Cotton Price Discovery and Pricing Efficiency
1979Market Information and Price Reporting in the Food and Agricultural Sector, May 24-25, 1979, Madison ...
Sporleder, Thomas L. +1 more
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Price Discovery in Crude Oil Prices
SSRN Electronic Journal, 2011I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more responsive to a common trend shock.
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