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INFORMATION AND NOISE IN FINANCIAL MARKETS: EVIDENCE FROM THE E-MINI INDEX FUTURES

✍ Scribed by Alexander Kurov

Book ID
111215568
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
208 KB
Volume
31
Category
Article
ISSN
0270-2592

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πŸ“œ SIMILAR VOLUMES

Slippage in futures markets: Evidence fr
Slippage in futures markets: Evidence from the Sydney Futures Exchange
✍ Alex Frino; Teddy Oetomo πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 128 KB

## Abstract This article examines the market‐impact cost of trades executed in futures markets, which is commonly referred to as __slippage__. With the use of a unique data set provided by the Sydney Futures Exchange, this article documents that slippage costs incurred in executing packages of trad