This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increased limit order book disclosure from depth at the best bid and ask prices to depth at the three...

We study the intraday price impact of algorithmic trading (AT) on futures markets. We find that AT exhibits a strong reverse U-shape intraday pattern, and greater AT activity is related to lower effective spreads, higher realized spreads and lower adverse selection risk, which suggests that...

Social scientists have recognized the importance of age-period-cohort (APC) models for half a century, but have spent much of this time mired in debates about the feasibility of APC methods. Recently, a new class of APC methods based on modern statistical knowledge has emerged, offering...

This paper considers the retail water provider’s purchasing decision of a portfolio of permanent contracts from wholesalers with multiple volatile water sources. We consider the reliability of two contract types: (1) fixed annual quantities, and (2) an inflow harvest function with storage. Our...