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Liquidity and Price Discovery of Algorithmic Trading : An Intraday Analysis of the SPI 200 Futures

Prodromou, Tina - 2014

We study the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process. First, we find that algorithmic trading provides liquidity when the spread is wide and that algorithms enter the market at...

Persistent link: https://www.econbiz.de/10013067530

Algorithmic trading, liquidity, and price discovery : an intraday analysis of the SPI 200 futures

Viljoen, Tina; Westerholm, P. Joakim; Zheng, Hui - In: The financial review : the official publication of the … 49 (2014) 2, pp. 245-270

Persistent link: https://www.econbiz.de/10010363593

The lead-lag relationship between equities and stock index futures markets around information releases

Frino, Alex; Walter, Terry S.; West, Andrew - In: The journal of futures markets 20 (2000) 5, pp. 467-487

Persistent link: https://www.econbiz.de/10001500120

Stock market closure and intraday stock index futures market volatility : 'contagion', bid-ask bias or both?

Fong, Kingsley; Frino, Alex - In: Pacific-Basin finance journal 9 (2001) 3, pp. 219-232

Persistent link: https://www.econbiz.de/10001585394

Intraday futures market behaviour around major scheduled macroeconomic announcements : Australian evidence

Frino, Alex; Hill, Amelia - In: Journal of banking & finance 25 (2001) 7, pp. 1319-1337

Persistent link: https://www.econbiz.de/10001586896

The impact of transaction costs on price discovery : evidence from cross-listed stock index futures contracts

Frino, Alex; West, Andrew - In: Pacific-Basin finance journal 11 (2003) 2, pp. 139-151

Persistent link: https://www.econbiz.de/10001758257

The pricing of stock index futures spreads at contract expiration

Frino, Alex; McKenzie, Michael D. - In: The journal of futures markets 22 (2002) 5, pp. 451-469

Persistent link: https://www.econbiz.de/10001678512

A note on execution costs for stock index futures : information versus liquidity effects

Berkman, Henk; Brailsford, Timothy J.; Frino, Alex - In: Journal of banking & finance 29 (2005) 3, pp. 565-577

Persistent link: https://www.econbiz.de/10002516846

Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares

Cummings, James Richard; Frino, Alex - In: Accounting and finance : journal of the Accounting … 51 (2011) 3, pp. 661-683

Persistent link: https://www.econbiz.de/10009304060

Commonality in liquidity across international borders : evidence from futures markets

Frino, Alex; Mollica, Vito; Zhou, Zeyang - In: The journal of futures markets 34 (2014) 8, pp. 807-818

Persistent link: https://www.econbiz.de/10010507935