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Essays on price formation in futures markets.

紀錄類型:	書目-電子資源 : 單行本
正題名/作者:	Essays on price formation in futures markets./
作者:	Onayev, Zhan.
面頁冊數:	118 p.
附註:	Source: Dissertation Abstracts International, Volume: 66-08, Section: A, page: 3036.
Contained By:	Dissertation Abstracts International66-08A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3185883
ISBN:	9780542277603

Essays on price formation in futures markets.
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100 1 $a Onayev, Zhan. $3 1000005801
245 1 0 $a Essays on price formation in futures markets.
300 $a 118 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-08, Section: A, page: 3036.
500 $a Director: Peter R. Locke.
502 $a Thesis (Ph.D.)--The George Washington University, 2006.
520 $a This dissertation is comprised of two essays. The first essay analyzes the link between the intraday S&P500 futures price formation and the dynamics and the informativeness of order flow. By modeling the distribution of the change in transaction price, the study finds that the market-wide order flow induces permanent changes in the futures price. The existence of the equilibrium distribution of transaction prices at any point of time is established. Most of the variation in the futures price is found to be caused by public news rather than trading noise. Further the study analyzes the order flow informativeness under different market states determined by trading volume and dealer profitability. I find that order flow is more informative when the level of trading volume is low and income earned by dealers is low.
520 $a The second essay analyzes the contribution of trades executed on the trading floor, and trades executed electronically to price discovery in the S&P500 Index. The analysis is performed using transaction level S&P500 Index futures data for the period from January 3, 2000 to June 30, 2001. I find that the contribution of the Emini market to price discovery is greater than that of the trading floor. The evidence suggests that the contribution of the Emini market to price discovery increased over time, while its volatility declined. I find that the contribution of the Emini trades to price discovery is positively related to the determinants of trading activity such as trading volume and order flow. These findings suggest that at times when liquidity is high, informed investors will have greater propensity to execute Emini trades. The finding that order flow is positively related to the contribution of the Emini market to price discovery is consistent with Kurov and Lasser (2004) who suggest that Emini trades could be more informative because trade participants learn from large orders submitted to the floor and simultaneously place orders in the Emini market.
590 $a School code: 0075.
650 4 $a Economics, Finance. $3 1000005765
690 $a 0508
710 2 0 $a The George Washington University. $3 1000005547
773 0 $t Dissertation Abstracts International $g 66-08A.
790 1 0 $a Locke, Peter R., $e advisor
790 $a 0075
791 $a Ph.D.
792 $a 2006
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3185883 $z