Volatility and Liquidity on High-Frequency Electricity Futures Markets: Empirical Analysis and Stochastic Modeling

SSRN Electronic Journal ◽

10.2139/ssrn.3400763 ◽

2019 ◽

Author(s):

Marcel Kremer ◽

Fred Espen Benth ◽

Björn Felten ◽

Ruediger Kiesel

Keyword(s):

Empirical Analysis ◽

Stochastic Modeling ◽

High Frequency ◽

Futures Markets

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Need for Speed: An Empirical Analysis of Hard and Soft Information in a High Frequency World

SSRN Electronic Journal ◽

10.2139/ssrn.2083603 ◽

2012 ◽

Cited By ~ 7

Author(s):

S. Sarah Zhang

Keyword(s):

Empirical Analysis ◽

High Frequency ◽

Soft Information

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Prediction of metal futures price volatility and empirical analysis based on symbolic time series of high-frequency

Transactions of Nonferrous Metals Society of China ◽

10.1016/s1003-6326(20)65332-8 ◽

2020 ◽

Vol 30 (6) ◽

pp. 1707-1716

Author(s):

Dan WU ◽

Jian-bai HUANG ◽

Mei-rui ZHONG

Keyword(s):

Time Series ◽

Empirical Analysis ◽

High Frequency ◽

Price Volatility ◽

Futures Price

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Determinants of intraday market liquidity: an empirical analysis of Indian futures market using high frequency data

International Journal of Management Practice ◽

10.1504/ijmp.2020.10027280 ◽

2020 ◽

Vol 13 (2) ◽

pp. 178

Author(s):

Bhavana Srivastava ◽

Moonis Shakeel

Keyword(s):

Empirical Analysis ◽

High Frequency ◽

Futures Market ◽

Market Liquidity ◽

High Frequency Data ◽

Frequency Data ◽

Intraday Market

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An empirical analysis of bank hedging in futures markets

Journal of Futures Markets ◽

10.1002/fut.3990100102 ◽

1990 ◽

Vol 10 (1) ◽

pp. 1-12 ◽

Cited By ~ 23

Author(s):

G. D. Koppenhaver

Keyword(s):

Empirical Analysis ◽

Futures Markets

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Information Transmission Among World Major Gold Futures Markets: Evidence From High Frequency Synchronous Trading Data

Journal of US-China Public Administration ◽

10.17265/1548-6591/2014.03.007 ◽

2014 ◽

Vol 11 (3) ◽

Author(s):

Rapeesorn Fuangkasem ◽

Pornchai Chunhachinda ◽

Sarayut Nathaphan

Keyword(s):

Information Transmission ◽

High Frequency ◽

Futures Markets ◽

Gold Futures

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Exploring the dynamic price discovery, risk transfer and spillover among INE, WTI and Brent crude oil futures markets: Evidence from the high-frequency data

International Journal of Finance & Economics ◽

10.1002/ijfe.1914 ◽

2020 ◽

Author(s):

Yue-Jun Zhang ◽

Shu-Jiao Ma

Keyword(s):

Crude Oil ◽

High Frequency ◽

Futures Markets ◽

Price Discovery ◽

High Frequency Data ◽

Frequency Data ◽

Oil Futures ◽

Risk Transfer ◽

Dynamic Price ◽

Crude Oil Futures

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Determinants of intraday market liquidity: an empirical analysis of Indian futures market using high frequency data

International Journal of Management Practice ◽

10.1504/ijmp.2020.105672 ◽

2020 ◽

Vol 13 (2) ◽

pp. 178

Author(s):

Moonis Shakeel ◽

Bhavana Srivastava

Keyword(s):

Empirical Analysis ◽

High Frequency ◽

Futures Market ◽

Market Liquidity ◽

High Frequency Data ◽

Frequency Data ◽

Intraday Market

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An empirical analysis of the supply of liquidity by locals in futures markets: Evidence from the Sydney Futures Exchange

Pacific-Basin Finance Journal ◽

10.1016/s0927-538x(00)00023-8 ◽

2000 ◽

Vol 8 (3-4) ◽

pp. 443-456 ◽

Cited By ~ 9

Author(s):

Alex Frino ◽

Elvis Jarnecic

Keyword(s):

Empirical Analysis ◽

Futures Markets

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Stochastic Modeling of Normal and Tumor Tissue Microstructure for High-Frequency Ultrasound Imaging Simulations

IEEE Transactions on Biomedical Engineering ◽

10.1109/tbme.2009.2028655 ◽

2009 ◽

Vol 56 (12) ◽

pp. 2806-2815 ◽

Cited By ~ 6

Author(s):

Mohammad I. Daoud ◽

James C. Lacefield

Keyword(s):

Stochastic Modeling ◽

Ultrasound Imaging ◽

High Frequency ◽

Tumor Tissue ◽

High Frequency Ultrasound ◽

Tissue Microstructure ◽

High Frequency Ultrasound Imaging ◽

Frequency Ultrasound

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Stochastic modeling of tissue microstructure for high-frequency ultrasound imaging simulations

10.1117/12.812938 ◽

2009 ◽

Cited By ~ 1

Author(s):

Mohammad I. Daoud ◽

James C. Lacefield

Keyword(s):

Stochastic Modeling ◽

Ultrasound Imaging ◽

High Frequency ◽

High Frequency Ultrasound ◽

Tissue Microstructure ◽

High Frequency Ultrasound Imaging ◽

Frequency Ultrasound

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