Information Content of Trading Activity in Precious Metals Futures Markets

2015 ◽  
Vol 36 (5) ◽  
pp. 421-456 ◽  
Author(s):  
Elina Pradkhan
Keyword(s):  
Information Content ◽  
Futures Markets ◽  
Precious Metals ◽  
Trading Activity

Trading activity and price behavior in Chinese agricultural futures markets

2016 ◽  
Vol 18 ◽  
pp. 52-59 ◽  
Author(s):  
Xiaolin Wang ◽  
Qiang Ye ◽  
Feng Zhao
Keyword(s):  
Futures Markets ◽  
Price Behavior ◽  
Trading Activity ◽  
Agricultural Futures

scholarly journals FX counterparty risk and trading activity in currency forward and futures markets

2012 ◽  
Vol 21 (3) ◽  
pp. 102-110 ◽  
Author(s):  
Richard M. Levich
Keyword(s):  
Futures Markets ◽  
Counterparty Risk ◽  
Trading Activity

Information content of volatilities implied by option premiums in grain futures markets

1990 ◽  
Vol 10 (1) ◽  
pp. 13-27 ◽  
Author(s):  
William W. Wilson ◽  
Hung-Gay Fung
Keyword(s):  
Information Content ◽  
Futures Markets

Trading activity in stock index futures markets: The evidence of emerging markets

2002 ◽  
Vol 22 (10) ◽  
pp. 983-1003 ◽  
Author(s):  
Yu Chuan Huang
Keyword(s):  
Emerging Markets ◽  
Futures Markets ◽  
Stock Index ◽  
Stock Index Futures ◽  
Trading Activity ◽  
Index Futures

On the Possibility of Informative Equilibria in Futures Markets with Feedback

2019 ◽  
Vol 18 (3) ◽  
pp. 1521-1552
Author(s):  
Robert P Lieli ◽  
Augusto Nieto-Barthaburu
Keyword(s):  
Information Content ◽  
Rational Expectations ◽  
Futures Markets ◽  
Market Price ◽  
Feedback Effect ◽  
Binary Outcome ◽  
Future Event ◽  
Rational Expectations Equilibrium ◽  
Ex Ante ◽  
Existence Of Equilibria

AbstractWe study the existence of equilibria and the information content of prices in futures markets where the probability of future payoffs can be altered by an intervening agent who acts in response to the market price, hence creating a feedback effect. We focus on the market with the simplest possible structure: traders betting on the occurrence of a future event by buying or selling Arrow-Debreu securities (one dollar claims contingent on a binary outcome). We find that in the presence of feedback: (i) a rational expectations equilibrium may not exist; (ii) the market price may decline in response to information that is ex-ante more favorable to the occurrence of the underlying event; (iii) an equilibrium that reveals no information may obtain. Thus, feedback from an intervening agent materially alters the way in which price responds to information, and potentially undermines the viability of the market itself.

Information content in the depth of futures markets

2015 ◽  
Vol 44 (1) ◽  
pp. 43-56 ◽  
Author(s):  
I-Chun Tsai
Keyword(s):  
Information Content ◽  
Futures Markets
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