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Intraweek and intraday trade patterns and dynamics

✍ Scribed by Petko S. Kalev; Linh T. Pham


Book ID
116816891
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
250 KB
Volume
17
Category
Article
ISSN
0927-538X

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Large trades and intraday futures price
✍ Alex Frino; Johan Bjursell; George H. K. Wang; Andrew Lepone πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 198 KB

## Abstract This study examines the effects of large trades executed by outside customer on the prices of futures contracts traded on the Chicago Mercantile Exchange. We find that, on average, large buyer‐initiated trades have a larger permanent price impact (information effect) than large seller‐i