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....

This study investigates the impact of HFT on the intraday speed of adjustment and price discovery following scheduled macroeconomic announcements for interest rate derivatives. Our results demonstrate that the speed of adjustment to new information has been improved for both interest rate...

This study examines the impact of algorithmic trading (AT) on the speed of adjustment and price discovery during scheduled macroeconomic announcements for interest rate derivatives. In February 2012, the Australian Securities Exchange (ASX) introduced co-location services for futures traders....