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Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets

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  • Christopher K. Ma
  • Richard L. Peterson
  • R. Stephen Sears

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  • Christopher K. Ma & Richard L. Peterson & R. Stephen Sears, 1992. "Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(5), pages 519-538, October.
    • Handle: RePEc:wly:jfutmk:v:12:y:1992:i:5:p:519-538
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    Cited by:

    1. Jane Black & Ian Tonks, 2000. "Time series volatility of commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(2), pages 127-144, February.
    2. Black, Jane & Tonks, Ian, 1999. "Time series of commodity futures prices," LSE Research Online Documents on Economics 119117, London School of Economics and Political Science, LSE Library.
    3. Samarth Shah & B. Wade Brorsen, 2013. "Are liquidity costs higher in options markets or in futures markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(8), pages 701-708, April.
    4. Lester, Benjamin & Shourideh, Ali & Venkateswaran, Venky & Zetlin-Jones, Ariel, 2023. "Market-making with search and information frictions," Journal of Economic Theory, Elsevier, vol. 212(C).
    5. John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, October.

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