## Abstract Trading amongst dealers on the floor of the futures exchange is examined. Since there is only one trading venue, the common floor area, trading between dealers is carried on in the presence of trades involving customer orders as well, offering a unique setting for testing the effect of
โฆ LIBER โฆ
Trading activity and price reversals in futures markets
โ Scribed by Changyun Wang; Min Yu
- Book ID
- 117528625
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 256 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0378-4266
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## Abstract This study investigates the trading activity of the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGXโDT) Taiwan Stock Index Futures markets by analyzing the intraday patterns of volume and volatility. In addition, the market closure theory, which