The cost of liquidity is the major cost of transacting on organised futures exchanges. Liquidity has value both to traders and to exchanges. This paper argues that liquidity varies directly with market development, and that this relationship provides a major incentive for mergers among...

A simple model, based on the binomial theorem, is employed to predict that the probability of matching buyers and sellers increases with the number of transactions. The ask-bid spread, interpreted as a measure of liquidity, is assumed to vary negatively with the probability of matching buyers...

A Bayesian sampling algorithm for parameter estimation in a discrete-response model is presented, where the dependent variables contain two layers of binary choices and one ordered response. The investigation is motivated by an empirical study using such a double-selection rule for three...

We present a Bayesian sampling algorithm for parameter estimation in a discrete-response model, where the dependent variables contain two layers of binary choices and one ordered response. Our investigation is motivated by an empirical study using such a double-selection rule for three...

We present a Bayesian sampling approach to parameter estimation in a discrete-response model with double rules of selectivity, where the dependent variables contain two layers of binary choices and one ordered response. Our investigation is motivated by an empirical study using such a...

The global linear trend with autocorrelated disturbances is a surprising omission from the M1 competition. This approach to forecasting is therefore evaluated using the 51 non-seasonal series from the competition. It is contrasted with a fully optimized version of Holts trend corrected...

In this paper we present a test statistic, which will be used to test for significant differences between generating processes of two time series that may be logically connected. The test statistic is based on the differences between estimated parameters of the autoregressive models which are...

This study proposes a new approach to estimation of the time series properties of daily volatility in financial markets.