Market microstructure of FT‐SE 100 index futures: An intraday empirical analysis
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Cited by:
- Garrett Ian & Taylor Nicholas, 2001. "Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(2), pages 1-22, July.
- Nicholas Taylor, 2007.
"A New Econometric Model of Index Arbitrage,"
European Financial Management, European Financial Management Association, vol. 13(1), pages 159-183, January.
- Nicholas Taylor, 2004. "A New Econometric Model Of Index Arbitrage," Royal Economic Society Annual Conference 2004 69, Royal Economic Society.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, December.
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