This paper investigates the trading behavior of major market participants during an attempted delivery squeeze in a bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their strategic trading behavior, price distortion and learning in a...

This paper investigates how bond dealers manage core business risk with interest rate futures and the extent to which market quality is affected by their selective risk taking. We observe that dealers use futures to take directional bets and hedge changes in their spot exposure. We find that,...

In 1997, the London Stock Exchange, like NASDAQ, allowed the public to compete directly with dealers in a subset of stocks through the submission of limit orders. However, unlike NASDAQ, for these stocks, London also removed the obligation of dealers to quote firm two-way prices, and became a...

This paper examines the impact of insider trading activity on the trading behaviour of dealers and on market quality. Specifically, the activity we investigate is the trading of London Stock Exchange listed equities by incumbent company directors. We find that dealers adjust their inventory...