scholarly journals Order Flow Segmentation and the Role of Dark Trading in the Price Discovery of U.S. Treasury Securities

2013 ◽  
Author(s):  
Michael J. Fleming ◽  
Giang Nguyen
Keyword(s):  
Price Discovery ◽  
Order Flow ◽  
Treasury Securities ◽  
Flow Segmentation

scholarly journals Order-Flow Segmentation, Liquidity, and Price Discovery: The Role of Latency Delays

2020 ◽  
Vol 55 (8) ◽  
pp. 2555-2587 ◽  
Author(s):  
Michael Brolley ◽  
David A. Cimon
Keyword(s):  
Market Share ◽  
Relative Abundance ◽  
Price Discovery ◽  
Informed Trading ◽  
Market Makers ◽  
Flow Segmentation ◽  
The Impact ◽  
Order Execution ◽  
Latency Arbitrage

Latency delays intentionally slow order execution at an exchange, often to protect market makers against latency arbitrage. We study informed trading in a fragmented market in which one exchange introduces a latency delay on market orders. Liquidity improves at the delayed exchange as informed investors emigrate to the conventional exchange, where liquidity worsens. In aggregate, implementing a latency delay worsens total expected welfare. We find that the impact on price discovery depends on the relative abundance of speculators. If the exchange with delay technology competes against a conventional exchange, it implements a delay only if it has sufficiently low market share.

The Role of HFT's in Order Flow Toxicity and Stock Price Variance

2014 ◽  
Author(s):  
serhat Yildiz ◽  
Bonnie F. Van Ness ◽  
Robert A. Van Ness
Keyword(s):  
Stock Price ◽  
Order Flow

scholarly journals Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover

2017 ◽  
Vol 44 ◽  
pp. 13-26 ◽  
Author(s):  
Hong Miao ◽  
Sanjay Ramchander ◽  
Tianyang Wang ◽  
Dongxiao Yang
Keyword(s):  
Stock Markets ◽  
Price Discovery ◽  
Volatility Spillover ◽  
Index Futures

scholarly journals Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market

2018 ◽  
Vol 9 (2) ◽  
pp. 256-295 ◽  
Author(s):  
Michael J Fleming ◽  
Giang Nguyen
Keyword(s):  
Yield Curve ◽  
Securities Market ◽  
Order Flow ◽  
Treasury Securities ◽  
Oxford University ◽  
Informed Traders ◽  
Nature Of Information ◽  
Editorial Decision ◽  
To Come ◽  
The U.S

Abstract We study the workup protocol, an important size discovery mechanism in the U.S. Treasury market. We find that workup order flow shocks explain 6%–8% of the variation of returns on benchmark notes and, across maturities, 10% of the variation of the yield curve level factor. Information related to proprietary client order flow is more likely to show up in workup trades, whereas information derived from public announcements tends to come through preworkup trades. Our findings highlight how the nature of information affects the trade-off between speed and execution price when informed traders choose between the lit and workup channels. Received May 3, 2017; Editorial decision August 1, 2018 by Editor Thierry Foucault. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online. Internet Appendix tables are numbered with “IA” prefix.

An investigation of price discovery and volatility spillovers in India’s foreign exchange market

2015 ◽  
Vol 42 (2) ◽  
pp. 261-284 ◽  
Author(s):  
Sanjay Sehgal ◽  
Wasim Ahmad ◽  
Florent Deisting
Keyword(s):  
Price Discovery ◽  
Stock Exchange ◽  
Futures Market ◽  
Volatility Spillover ◽  
Futures Prices ◽  
Content Type ◽  
Volatility Spillovers ◽  
Currency Market ◽  
Short Run

Purpose – The purpose of this paper is to examine the price discovery and volatility spillovers in spot and futures prices of four currencies (namely, USD/INR, EURO/INR, GBP/INR and JPY/INR) and between futures prices of both stock exchanges namely, Multi-Commodity Stock Exchange (MCX-SX) and National Stock Exchange (NSE) in India. Design/methodology/approach – The study applies cointegration test of Johansen’s along with VECM to investigate the price discovery. GARCH-BEKK model is used to examine the volatility spillover between spot and futures and between futures prices. The other two models namely, constant conditional correlation and dynamic conditional correlation are used to demonstrate the constant and time-varying correlations. In order to confirm the volatility spillover results, the study also applies test of directional spillovers suggested by Diebold and Yilmaz (2009, 2012). Findings – The results of the study show that there is long-term equilibrium relationship between spot and futures and between futures markets. Between futures and spot prices, futures price appears to lead the spot price in the short-run. Volatility spillover results indicate that the movement of volatility spillover takes place from futures to spot in the short-run while spot to futures found in the long-run. However, the results of between futures markets exhibit the dominance of MCX-SX over NSE in terms of volatility spillovers. By and large, the findings of the study indicate the important role of futures market in price discovery as well as volatility spillovers in India’s currency market. Practical implications – The results highlight the role of futures market in the information transmission process as it appears to assimilate new information quicker than spot market. Hence, policymakers in emerging markets such as India should focus on the development of necessary institutional and fiscal architecture, as well as regulatory reforms, so that the currency market trading platforms can achieve greater liquidity and efficiency. Originality/value – Due to recent development of currency futures market, there is dearth of literature on this subject. With the apparent importance of currency market in recent time, this study attempts to study the efficient behavior of currency market by way of examining the price discovery and volatility spillovers between spot and futures and between futures prices of four currencies traded on two platforms. The study has strong implications for India’s stock market especially at the time when its currency is under great strain owing to the adverse impact of global financial crisis.

Price Discovery in precious metals market: A study of Gold

GIS Business ◽  
2018 ◽  
Vol 13 (6) ◽  
pp. 13-20
Author(s):  
Dr. Narender Kumar ◽  
Mrs. Sunita Arora
Keyword(s):  
Granger Causality ◽  
Price Discovery ◽  
Precious Metals ◽  
Futures Market ◽  
Study Data ◽  
Futures Prices ◽  
Causality Test ◽  
Commodity Exchange ◽  
Long Time

Gold is the oldest known precious metal on this earth and for a long time it has been used as a standard currency. The present study has been undertaken with an attempt to analyze whether Indian futures market is playing its role of price discovery in case of gold or not. For the purpose of study, data for spot and futures prices for a period of four and a half years starting from June 2005 to December 2009 has been collected from the website of Multi Commodity Exchange of India Limited, India’s largest commodity exchange in terms of value of trading on commodity exchanges in India. Data has been tested for statioanrity and was found non stationary. It was then transformed to make it stationary. On the basis of Johansen’s cointegration test, series of spot and futures prices were found cointgrated. Granger Causality test was applied on stationary data. The results of the study show that futures market in India is performing its role of price discovery in case of Gold. Keywords: Price Discovery, Commodity Market, Granger Causality, Cointegration.

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