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The impact of commodity benchmarks on derivatives markets : the case of the dated Brent assessment and Brent futures

Frino, Alex; Ibikunle, Gbenga; Mollica, Vito; Steffen, Tom - In: Journal of banking & finance 95 (2018), pp. 27-43

Persistent link: https://www.econbiz.de/10011966695

The Impact of Commodity Benchmarks on Derivatives Markets : The Case of the Dated Brent Assessment and Brent Futures

Frino, Alex - 2018

We examine the response of ICE Brent Crude futures to the spot Dated Brent benchmark published by Platts. Trading activity in the futures market intensifies during the benchmark assessment. We also find trading in the direction of the published benchmark during the price assessment window....

Persistent link: https://www.econbiz.de/10012936590

An empirical analysis of price and time priority and pro rata trade execution algorithms in screen-traded markets

Frino, Alex; Hill, Amelia; Jarnecic, Elvis - In: The journal of derivatives : the official publication … 7 (2000) 4, pp. 41-48

Persistent link: https://www.econbiz.de/10001500038

Life in the pits: competitive market making and inventory control - further Australian evidence

Frino, Alex; Forrest, Peter; Duffy, Matthew - In: Journal of multinational financial management 9 (1999) 3/4, pp. 373-385

Persistent link: https://www.econbiz.de/10001506205

The propensity for local traders in futures markets to ride losses : evidence of irrational or rational behavior?

Frino, Alex; Johnstone, David; Zheng, Hui - In: Journal of banking & finance 28 (2004) 2, pp. 353-372

Persistent link: https://www.econbiz.de/10001863273

Differences in the cost of trade execution services on floor-based and electronic futures markets

Bortoli, Luke Gareth; Frino, Alex; Jarnecic, Elvis - In: Journal of financial services research : JFSR 26 (2004) 1, pp. 73-87

Persistent link: https://www.econbiz.de/10002120370

Price discovery in the pits : the role of market makers on the CBOT and the Sydney futures exchange

Frino, Alex; Harris, Frederick H. deB.; McInish, Thomas H. - In: The journal of futures markets 24 (2004) 8, pp. 785-804

Persistent link: https://www.econbiz.de/10002138812

Volatility and trading activity following changes in the size of futures contracts

Bjursell, Johann; Frino, Alex; Tse, Yiuman; Wang, … - In: Journal of empirical finance 17 (2010) 5, pp. 967-980

Persistent link: https://www.econbiz.de/10009267230

The relationship between satellite and home market volumes : evidence from cross-listed Singapore futures contracts

Frino, Alex; Harris, Frederick H. deB.; Lepone, Andrew; … - In: Pacific-Basin finance journal 24 (2013), pp. 301-311

Persistent link: https://www.econbiz.de/10010346764

Large trades and intraday futures price behavior

Frino, Alex; Bjursell, Johan; Wang, George H. K.; … - In: The journal of futures markets 28 (2008) 12, pp. 1147-1181

Persistent link: https://www.econbiz.de/10003773147