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Activity in futures: does underlying market size relate to futures trading volume?

Frino, Alex; Jarnecic, Elvis; Zheng, Hui - In: Review of Quantitative Finance and Accounting 34 (2010) 3, pp. 313-325

Persistent link: https://www.econbiz.de/10010867639

An event time study of the price reaction to large retail trades

Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: The Quarterly Review of Economics and Finance 49 (2009) 2, pp. 617-632

This paper analyzes large retail trades using an event study approach. A major finding in studies of this nature is an immediate reversal on the trade subsequent to the large transaction, for both large purchases and large sales. This reversal is inconsistent with the overwhelming majority of...

Persistent link: https://www.econbiz.de/10005077797

Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets

Bortoli, Luke; Frino, Alex; Jarnecic, Elvis - In: Journal of Financial Services Research 26 (2004) 1, pp. 73-87

Persistent link: https://www.econbiz.de/10005715973

Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange

Frino, Alex; Jarnecic, Elvis; Johnstone, David; Lepone, … - In: Pacific-Basin Finance Journal 13 (2005) 3, pp. 247-262

Persistent link: https://www.econbiz.de/10005351941

An empirical analysis of the supply of liquidity by locals in futures markets: Evidence from the Sydney Futures Exchange

Frino, Alex; Jarnecic, Elvis - In: Pacific-Basin Finance Journal 8 (2000) 3-4, pp. 443-456

Persistent link: https://www.econbiz.de/10005351959

Off‐market block trades : New evidence on transparency and information efficiency

Frino, Alex - In: Journal of Futures Markets 41 (2021) 4, pp. 478-492

Persistent link: https://www.econbiz.de/10012535191

The impact of algorithmic trading on liquidity in futures markets : New insights into the resiliency of spreads and depth

Frino, Alex; Gerace, Dionigi; Behnia, Masud - In: Journal of Futures Markets 41 (2021) 8, pp. 1301-1314

Persistent link: https://www.econbiz.de/10012632615

Impact of algorithmic trading on speed of adjustment to new information : Evidence from interest rate derivatives

Frino, Alex; Garcia, Michael; Zhou, Zeyang - In: Journal of Futures Markets 40 (2020) 5, pp. 749-760

Persistent link: https://www.econbiz.de/10012189131

The sensitivity of trading to the cost of information

Frino, Alex; Kovačević, Ognjen; Mollica, Vito; Webb, … - In: Journal of Futures Markets 40 (2020) 10, pp. 1631-1644

Persistent link: https://www.econbiz.de/10012273042

Are option traders more informed than Twitter users? A PVAR analysis

Frino, Alex; Xu, Caihong; Zhou, Z. Ivy - In: Journal of Futures Markets 42 (2021) 9, pp. 1755-1771

Persistent link: https://www.econbiz.de/10012808329