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Business Cycles and Net Buying Pressure in the S&P 500 Futures Options

โœ Scribed by Kam C. Chan; Carl R. Chen; Peter P. Lung

Book ID
111059211
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
253 KB
Volume
16
Category
Article
ISSN
1354-7798

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## 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