Depths and spreads in futures markets: Relationship with order execution, submission, and cancellation-Reference-Cited by-同舟云学术

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Depths and spreads in futures markets: Relationship with order execution, submission, and cancellation

Published:2019-01-22 Issue:5 Volume:39 Page:590-599
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Frino Alex¹,Kovačević Ognjen²^ORCID,Mollica Vito²³^ORCID

Affiliation:

1. School of Accounting, Economics and Finance, Faculty of Business, University of WollongongWollongong New South Wales Australia

2. Macquarie Graduate School of Management, Department of Applied Finance, Macquarie UniversitySydney New South Wales Australia

3. Capital Markets Cooperative Research CentreSydney New South Wales Australia

Funder

Capital Markets Cooperative Research Centre

Derivative Markets Research Centre

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.21998

Reference20 articles.

1. Co-Movements in Bid-Ask Spreads and Market Depth

2. Commonality in liquidity

3. Market making and the changing structure of the securities industry 1985 Lexington KY: Lexington Books K. J. Cohen R. M. Conroy S. F. Maier Y. Amihud T. S. Y. Ho R. A. Schwartz Order flow and the quality of the market pp. 93 109

4. The Price Impact of Order Book Events

5. Information Effects on the Bid-Ask Spread

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