Liquidity-Induced Dynamics in Futures Markets
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- Fagan, Stephen & Gencay, Ramazan, 2008. "Liquidity-Induced Dynamics in Futures Markets," MPRA Paper 6677, University Library of Munich, Germany.
References listed on IDEAS
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Cited by:
- Cifarelli, Giulio & Paladino, Giovanna, 2015. "A dynamic model of hedging and speculation in the commodity futures markets," Journal of Financial Markets, Elsevier, vol. 25(C), pages 1-15.
- Tröster, Bernhard & Gunter, Ulrich, 2022. "Trading for speculators: The role of physical actors in the financialization of coffee, cocoa and cotton value chains," Working Papers 68, Austrian Foundation for Development Research (ÖFSE).
- Cifarelli, Giulio & Paladino, Giovanna, 2011. "Hedging vs. speculative pressures on commodity futures returns," MPRA Paper 28229, University Library of Munich, Germany.
- Wang, Tao & Yang, Jian, 2010. "Nonlinearity and intraday efficiency tests on energy futures markets," Energy Economics, Elsevier, vol. 32(2), pages 496-503, March.
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More about this item
Keywords
Liquidity; Futures Markets; Return Predictability; Volatility; Trader Positions; Directional Realized Volatility; Hedgers; Speculators; Position Bounds;All these keywords.
JEL classification:
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2008-10-28 (Financial Markets)
- NEP-MST-2008-10-28 (Market Microstructure)
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