## Abstract We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout time to maturity of these contracts, there is a dramatic change when the S&P 500 futures contract is
A strategy for trading the S&P 500 futures market
โ Scribed by Edward Olszewski
- Book ID
- 110669791
- Publisher
- Springer US
- Year
- 2001
- Tongue
- English
- Weight
- 994 KB
- Volume
- 25
- Category
- Article
- ISSN
- 1055-0925
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
The detailed descriptions of intraday volatility and other variables may also contribute to the continuing public discussion on stock index futures. ## PREVIOUSLY OBSERVED PATTERNS The U-shaped intraday pattern in stock returns and returns variance are first documented by Wood, Mclnish, and Ord(1
Post-crash distributions inferred from S&P 500 future option prices have been strongly negatively skewed. This article examines two alternate explanations: stochastic volatility and jumps. The two option pricing models are nested, and are "tted to S&P 500 futures options data over 1988}1993. The sto