✦ LIBER ✦

Clustering in the futures market: Evidence from S&P 500 futures contracts

✍ Scribed by Adam L. Schwartz; Bonnie F. Van Ness; Robert A. Van Ness

Publisher: John Wiley and Sons
Year: 2004
Tongue: English
Weight: 129 KB
Volume: 24
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.10129

No coin nor oath required. For personal study only.

✦ Synopsis

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 designated a front‐month
contract (decrease in clustering) and a back‐month contract (increase in clustering).
We find that trade price clustering is a positive function of volatility and a negative function of volume or open
interest. In addition, we find a high degree of clustering in the daily opening and closing prices, but a lower
degree of clustering in the settlement prices. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:413–428,
2004

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