The Bid Ask Spread Of The Ftse 100 Futures Contract

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The Bid-Ask Spread of the Ftse-100 Futures Contract

Author : Thomas Henker
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Bid-Ask Spread of the Ftse-100 Futures Contract by : Thomas Henker

Download or read book The Bid-Ask Spread of the Ftse-100 Futures Contract written by Thomas Henker and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Half point quotes and consequently half-point spreads are virtually non-existent in FTSE-100 futures trading. This is surprising since in 1994 Christie and Schultz published a series of papers documenting tacit collusion among NASDAQ market makers. Subsequent to the publication of their article the peculiarity ceased to exist for NASDAQ stocks but apparently not in other asset markets. The FTSE-100 futures contract is traded on the London International Financial Futures Exchange (LIFFE) throughout the day in open outcry pit trading and in after hours trading through an electronic market clearing system called Automated Pit Trading (APT). Pit trading is the prototype of a competitive market that is designed to ensure minimal bid-ask spreads.In a second part this paper estimates the total economic costs associated with the operation of the FTSE-100 futures trading pit. These costs arise from the existence of the bid-ask spread and are borne by all market participants who have a real demand for the futures contract and initiate trades. The spread costs are in addition to common transaction costs and fees paid directly to brokers and traders. The spreads in APT trading are found to be on average 50% higher than during pit trading, which may help explain the APT low trading volume relative to the volume transacted during pit trading. A spread decomposition shows that 80 percent of the spread can be attributed to time invariant spread components while only the remaining 20% are transient components related to price risk over the expected holding period of the scalper.

The Intraday Behavior of Bid-Ask Spreads, Returns, and Volatility for Ftse-100 Stock Index Options

Author : Owain Ap Gwilym
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Intraday Behavior of Bid-Ask Spreads, Returns, and Volatility for Ftse-100 Stock Index Options by : Owain Ap Gwilym

Download or read book The Intraday Behavior of Bid-Ask Spreads, Returns, and Volatility for Ftse-100 Stock Index Options written by Owain Ap Gwilym and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The microstructure of stock markets and futures markets has attracted considerable recent attention, but the evidence relating to options markets is sparse, especially for the U.K. This article addresses this void in the literature by presenting evidence on the intraday behavior of bid-ask spreads, returns, volatility, and volume. Both clear differences and similarities are found with the previous results for other markets. Spreads are found to be wide near the market open and narrow near the close. Although this contrasts with some previous evidence in U.S. stock and futures markets of a U-shaped pattern in intraday spreads, it is consistent with other recent research, and the differences may be explained by differing market structures. No clear pattern emerges in options returns, but there is a U-shape across the day in returns volatility and in volume. The results help to differentiate between the competing theories of the intraday behavior of these key variables.

Stock Index Futures

Author : Charles M.S. Sutcliffe
Publisher : Routledge
ISBN 13 : 1351148540
Total Pages : 844 pages
Book Rating : 4.3/5 (511 download)

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Book Synopsis Stock Index Futures by : Charles M.S. Sutcliffe

Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.

How is Futures Trading Affected by the Move to a Computerized Trading System? Lessons from the Liffe Ftse 100 Contract

Author : Christopher L. Gilbert
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis How is Futures Trading Affected by the Move to a Computerized Trading System? Lessons from the Liffe Ftse 100 Contract by : Christopher L. Gilbert

Download or read book How is Futures Trading Affected by the Move to a Computerized Trading System? Lessons from the Liffe Ftse 100 Contract written by Christopher L. Gilbert and published by . This book was released on 2002 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the impact of the May 1999 move by the London financial futures exchange LIFFE in relation to trading in the FTSE 100 index futures contract. The move was accompanied by a narrowing of the effective spread. Detailed examination of the tick data indicates that the determinants of the spread were quite different under the two regimes. These differences mainly reflect the fact that computerization introduces a limit order facility. Despite these changes, the narrowing of the spread appears to be principally due to a decline in tick-level volatility rather than to the way that this or other variables affect the spread. We also look at market depth and suggest that this has declined in the automated regime.

Effects of Futures Trading on the Spot Market Bid-ask Spread

Author : Peter Simmons
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (595 download)

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Book Synopsis Effects of Futures Trading on the Spot Market Bid-ask Spread by : Peter Simmons

Download or read book Effects of Futures Trading on the Spot Market Bid-ask Spread written by Peter Simmons and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Bid-Ask Spreads, Volatility, Quote Revisions, and Trades of Thinly Traded Futures Contracts

Author : Charlie Charoenwong
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Bid-Ask Spreads, Volatility, Quote Revisions, and Trades of Thinly Traded Futures Contracts by : Charlie Charoenwong

Download or read book Bid-Ask Spreads, Volatility, Quote Revisions, and Trades of Thinly Traded Futures Contracts written by Charlie Charoenwong and published by . This book was released on 2013 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, intraday characteristics of thinly traded equity index futures contracts from the Singapore Exchange are examined. Though the BAS pattern during the trading day appears quite flat, an increase in risk widens the spread and a higher trading activity reduces it. The difference in volatility between days with and without trades is not significant. When trades do occur, there are more quote revisions, which is positively related to the number of trades. Higher quote revisions increase the likelihood of transactions and, when quotes are current, revisions that are accompanied by trades carry new information. We provide evidence that thinly traded contracts can be liquid if their price quotes are current.

Life Cycles

Author : Abhay Abhyankar
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Life Cycles by : Abhay Abhyankar

Download or read book Life Cycles written by Abhay Abhyankar and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We also document a number of regularities in the pattern of daily returns and volatility of the cash index. Finally, we document intraday patterns in the basis, i.e. the contemporaneous difference between the futures price and the underlying cash index level. In general, we find returns vary somewhat over the day, reflecting in particular the influence of the US market openings in early afternoon London-time. We find that, while both volume and volatility exhibit a U-shaped pattern over the day, movements in the spread tend if anything to follow the opposite pattern. As far as consistency with the best-known microstructure models is concerned, our results are more supportive of the Brock and Kleidon (1992) market closures model than the Admati and Pfleiderer (1988) noise- trading model.

Financial Derivatives

Author : Keith Redhead
Publisher :
ISBN 13 :
Total Pages : 404 pages
Book Rating : 4.0/5 ( download)

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Book Synopsis Financial Derivatives by : Keith Redhead

Download or read book Financial Derivatives written by Keith Redhead and published by . This book was released on 1997 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete, highly accessible introduction to futures, forwards, options and swaps. Covers stock index futures, and short- and long-term interest rate futures. Discusses advanced strategies, including currency forwards and futures, options, arbitrage, Black-Scholes and Binomial option pricing models. Discusses swaps. Presents numerous examples and worked "activities" to illustrate techniques and facilitate self-assessment. Undergraduate and postgraduate introductory courses in financial derivatives, financial markets, institutions and investments.

The UK Trader's Bible

Author : Dominic Connolly
Publisher : Harriman House Limited
ISBN 13 : 0857190873
Total Pages : 370 pages
Book Rating : 4.8/5 (571 download)

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Book Synopsis The UK Trader's Bible by : Dominic Connolly

Download or read book The UK Trader's Bible written by Dominic Connolly and published by Harriman House Limited. This book was released on 2010-12-07 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the only comprehensive UK-published guide to short-term trading, combining detailed reference information with the author's advice on strategy and tactics. Every serious trader in the UK needs this book - not a nice-to-have, but a must-have! The 10 key things you will learn: - Detailed description of the different trading platforms (SEAQ, SETS, SETSmm, SEATS Plus) on the London Stock Exchange. - How to deal inside the spread in market making stocks and get the best price. - How auctions work on the London Stock Exchange platforms. - The importance of direct market access for active traders. - The secrets of programme trading, index arbitrage and block deals. - How the cash, futures, lending and derivatives markets interact. - The secrets and risks of short selling. - Which directors' deals to follow and which are irrelevant. - How to make money from takeover situations. - Secret strategies from an established and successful trader.

Transparency and Fragmentation

Author : J. Board
Publisher : Springer
ISBN 13 : 1403907072
Total Pages : 320 pages
Book Rating : 4.4/5 (39 download)

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Book Synopsis Transparency and Fragmentation by : J. Board

Download or read book Transparency and Fragmentation written by J. Board and published by Springer. This book was released on 2002-07-16 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first major treatment of the effects of increased transparency on financial markets: an important and highly controversial issue for both traders and regulators. Focussing on three main themes - market transparency, the consolidation-fragmentation of trading systems, and the scope of regulation (i.e. which markets, and which traders within those markets, should be subject to regulation), the book highlights the importance of these issues to all markets throughout the world. The book draws on research from eight UK based investment exchanges, Deutsche Borse in Frankfurt and documentary evidence from the US markets and their regulators enabling the identification and documentation of the current situation and consideration of what fresh regulatory approaches are required for this new and fast evolving situation.

Financial Spread Betting for Dummies

Author : Vanya Dragomanovich
Publisher : John Wiley & Sons
ISBN 13 : 1118638581
Total Pages : 322 pages
Book Rating : 4.1/5 (186 download)

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Book Synopsis Financial Spread Betting for Dummies by : Vanya Dragomanovich

Download or read book Financial Spread Betting for Dummies written by Vanya Dragomanovich and published by John Wiley & Sons. This book was released on 2013 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Financial Spread Betting For Dummies' is a one-stop introduction to the world of spread betting. Packed with advice and examples, it tells you: how to get started, where you can spread bet, strategies for successful betting, how to evaluate risks, what mistakes to avoid and more.

Macroeconomic News Effects in Commodity Futures and German Stock and Bond Futures Markets

Author : He Huang
Publisher : BoD – Books on Demand
ISBN 13 : 3899368924
Total Pages : 222 pages
Book Rating : 4.8/5 (993 download)

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Book Synopsis Macroeconomic News Effects in Commodity Futures and German Stock and Bond Futures Markets by : He Huang

Download or read book Macroeconomic News Effects in Commodity Futures and German Stock and Bond Futures Markets written by He Huang and published by BoD – Books on Demand. This book was released on 2010 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: A well-known concept in modern capital market theory is that only systematic risk factors affect security prices. Macroeconomic announcements are among the most important news for financial markets because the state of the economy is a prime candidate for such a source of non-diversifiable risk. This book investigates the effects of US macroeconomic news on three financial markets that have received less attention in the literature so far. The markets of interest are the commodity futures market, the German stock index futures market, and the German bond futures market. I investigate not only price effects, but also liquidity effects as well as the channels of cross-border information flow. I find that commodity markets as well as international stock and bond markets are likewise affected by the release of US macroeconomic news. The strength of the commodity price response depends on the state of the economy and news about the US economy is more important for German stock markets than domestic economic news. For an investor in any of these markets, this book provides valuable information on how to adjust his trading strategies around the release of macroeconomic news. Moreover, my findings contribute to the understanding of cross-border information flow. First, I find that both domestic and foreign economic news induce significant price and liquidity effects. Second, I find that there are two important channels of information transmission for foreign news: the direct response to the news and the indirect response to the foreign response to the news.

The Review of Futures Markets

Author :
Publisher :
ISBN 13 :
Total Pages : 738 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Review of Futures Markets by :

Download or read book The Review of Futures Markets written by and published by . This book was released on 1994 with total page 738 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Derivative Instruments

Author : Brian Eales
Publisher : Butterworth-Heinemann
ISBN 13 : 9780750654197
Total Pages : 282 pages
Book Rating : 4.6/5 (541 download)

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Book Synopsis Derivative Instruments by : Brian Eales

Download or read book Derivative Instruments written by Brian Eales and published by Butterworth-Heinemann. This book was released on 2003-04-25 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text provides information on derivative trading in a way not covered by existing texts, combining theory and valuation to explain why derivatives are so important and useful as a financial instrument.

Commodities

Author : M. A. H. Dempster
Publisher : CRC Press
ISBN 13 : 1000784045
Total Pages : 864 pages
Book Rating : 4.0/5 (7 download)

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Book Synopsis Commodities by : M. A. H. Dempster

Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2022-12-09 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets. After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts – the fifth of which is entirely new material covering cutting-edge developments. Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds Electricity Markets supplies an overview of the current and future modelling of electricity markets Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes

Mastering Derivatives markets ebook

Author : Francesca Taylor
Publisher : Pearson UK
ISBN 13 : 0273735683
Total Pages : 428 pages
Book Rating : 4.2/5 (737 download)

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Book Synopsis Mastering Derivatives markets ebook by : Francesca Taylor

Download or read book Mastering Derivatives markets ebook written by Francesca Taylor and published by Pearson UK. This book was released on 2011-03-28 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Contemporary Issues in Financial Institutions and Markets

Author : John Wilson
Publisher : Routledge
ISBN 13 : 1317980093
Total Pages : 150 pages
Book Rating : 4.3/5 (179 download)

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Book Synopsis Contemporary Issues in Financial Institutions and Markets by : John Wilson

Download or read book Contemporary Issues in Financial Institutions and Markets written by John Wilson and published by Routledge. This book was released on 2015-07-16 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together academic work on contemporary issues in financial institutions and markets. The general theme is designed to allow for a wide range of topics, covering the diverse nature of academic enquiry in banking and finance. The contributions thus address a broad spectrum of contemporary issues including bank diversification and securitization activities; bank regulatory reforms and competition; the performance of mutual funds and alternative asset classes; role of liquidity in price discovery for credit derivatives; and the existence of the compass rose pattern within option contracts market. This book was originally published as a special issue of The European Journal of Finance.