In this study, we examine the relations between the three keys variables of liquidity such as trading volume, bid-ask spread, and intraday price volatility. Hausman’s (1978) tests of specification confirmed that trading volume, bid-ask spread and intraday price volatility are jointly determined. Our study, leaded with a different approach to estimate the three parameters in a three-equation sim...

There has been recently an increasing interest in Grid services and economic-aware Grid systems both in the industry and the academia. In this paper we specify a market for hardware providers and consumers interested in leasing Grid resources for a time period. Our approach comprises a stockmarket like mechanism that enables the trading of computational power on the basis of a spot and a future...

This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures markets. We find that after controlling for market risk factors, speculators are contrarians, but respond positively to market sentiment. In contrast, hedgers engage in positive feedback trading and trade against market sentiment. We also find that trades of speculators (hedgers) are positively (neg...

Do Brokers Misallocate Customer Trades? Evidence from Futures Markets JEL Classification number: G12, G13, G18 In the context of futures markets, we study whether brokers allocate more favorable trades to their own accounts, and less favorable trades to their customers. We find that, within a thirty minute trading bracket, brokers on average buy at a lower price and sell at a higher price for t...

Non-storability of a commodity implies the independence of corresponding spot and futures prices. We investigate empirically the case of electricity and show that a relation does emerge between spots and forwards. This is because of the links in storable fuels used for production and behavioural biases in power trading. The latter cause a significant influence of the electricity spot price on t...

Real market institutions, stock and commodity exchanges for example, do not occur in isolation. Company stock is frequently listed on several stock exchanges, and futures exchanges make it possible for dealers in a particular commodity to offset their risks by trading options in that commodity. While there has been extensive research into agent-based trading in individual markets, there is litt...

In this article, we propose an arbitrage-free modeling framework for the joint dynamics of forward variance along with the underlying index, which can be seen as a combination of the two approaches proposed by Bergomi. The di erence between our modeling framework and the Bergomi models (2008), is mainly the ability to compute the prices of VIX futures and options by using semi-analytic formulas...

Following the evolvement of technology in the trading and reporting systems of financial markets in the recent past, the abundance of high frequency data made available for analysis has opened up the scope for more insightful research work on the intra day behaviour of financial market data. Using high frequency intra day data from 1 January 2004 to 31 December 2004, this paper examines the pat...

CONTRIBUTORS Irina Leonova, Financial Economist, Division of Market Oversight, Commodity Futures Trading Commission David Taylor, Special Counsel, Division of Market Oversight, Commodity Futures Trading Commission Alan Deaton, Chief of Data Strategy Section, Division of Insurance and Research, Federal Deposit Insurance Corporation Mark Montoya, Senior Business Analyst, Federal Deposit Insurance...

An agent invests in two types of futures contracts, whose prices are possibly correlated arithmetic Brownian motions, and invests in a money market account with a constant interest rate. The agent pays a transaction cost for trading in futures proportional to the size of the trade. She also receives utility from consumption. The agent maximizes expected infinite-horizon discounted utility from ...