Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns
Year of publication: |
2007
|
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Authors: | Canto, Bea ; Kräussl, Roman |
Publisher: |
Frankfurt a. M. : Goethe University Frankfurt, Center for Financial Studies (CFS) |
Subject: | Börsenkurs | Kapitalertrag | Börsen-Informationssystem | Einführung | Wertpapierbörse | Wertpapiertermingeschäft | Effizienzmarktthese | Großbritannien | Intraday non-linearities | Dynamic Spillovers | Electronic Trading Systems | Price Discovery Process | Cost of Carry Model | Regime Switching Model | Vector Error Correction Mechanism | SETAR Model |
Series: | CFS Working Paper ; 2007/20 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 527637270 [GVK] hdl:10419/25521 [Handle] RePEc:zbw:cfswop:200720 [RePEc] |
Classification: | G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets |
Source: |
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Canto, Bea, (2007)
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