High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures-Reference-Cited by-同舟云学术

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High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures

Published:2019-07-22 Issue:11 Volume:39 Page:1394-1434
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Nie Jing¹^ORCID

Affiliation:

1. School of Banking and FinanceUniversity of International Business and EconomicsBeijing China

Publisher

Wiley

Subject

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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22016

Reference41 articles.

1. Autocorrelation and partial price adjustment

2. Price discovery and common factor models

3. Price Discovery and Trading After Hours

4. Is There a Term Structure of Futures Volatilities? Reevaluating the Samuelson Hypothesis

5. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Market price determination: Interpreting quote order imbalance under zero-profit equilibrium;Economic Modelling;2024-05

2. High‐frequency trading and market quality: Evidence from account‐level futures data;Journal of Futures Markets;2023-02-27

3. High-Frequency Trading and Market Quality: Evidence from Account-Level Futures Data;SSRN Electronic Journal;2022

4. Information diffusion, trading speed and their potential impact on price efficiency – Literature review;Borsa Istanbul Review;2021-03

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