Intraday trading activities and volatility in round-the-clock futures markets
โ Scribed by Erin H. Kao; Hung-Gay Fung
- Book ID
- 113664487
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 478 KB
- Volume
- 21
- Category
- Article
- ISSN
- 1059-0560
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract Intraday volatility for the Eurodollar, the Euro/dollar foreign exchange rate, and the Eโmini S&P 500 futures contracts traded on a continuous 23โhour schedule on the Chicago Mercantile Exchange Globex electronic platform is studied. Volatility transmission in a single market across dif
Trading imbalances reflect the quality of market information and may contain more information than the number of trades or trading volume. In order to better understand how trading imbalances play a role different from traditional variables (i.e., number of trades and trading volume) in explaining v