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Order Flow Toxicity and Informed Trading around Known Market Manipulation Events: Evidence from Interest Rate Futures
SSRN Electronic Journal
◽
10.2139/ssrn.2807531
◽
2016
◽
Cited By ~ 1
Author(s):
Pongsutti Phuensane
◽
Julian M. Williams
Keyword(s):
Interest Rate
◽
Informed Trading
◽
Market Manipulation
◽
Order Flow
◽
Interest Rate Futures
Download Full-text
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References
Was There Informed Trading in LIBOR Referenced Interest Rate Futures?
SSRN Electronic Journal
◽
10.2139/ssrn.2863644
◽
2016
◽
Author(s):
Pongsutti Phuensane
◽
Julian M. Williams
Keyword(s):
Interest Rate
◽
Informed Trading
◽
Interest Rate Futures
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Short-Term Interest Rate Futures as Monetary Policy Forecasts
SSRN Electronic Journal
◽
10.2139/ssrn.1160197
◽
2008
◽
Cited By ~ 24
Author(s):
Giuseppe Ferrero
◽
Andrea Nobili
Keyword(s):
Monetary Policy
◽
Interest Rate
◽
Short Term
◽
Interest Rate Futures
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Informed Trading, Predictable Noise Trading Activities and Market Manipulation
SSRN Electronic Journal
◽
10.2139/ssrn.1343583
◽
2009
◽
Cited By ~ 2
Author(s):
Jungsuk Han
Keyword(s):
Informed Trading
◽
Market Manipulation
◽
Noise Trading
◽
Trading Activities
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Interest Rate Futures
Derivatives
◽
10.1017/9781108236041.008
◽
2017
◽
pp. 88-112
Keyword(s):
Interest Rate
◽
Interest Rate Futures
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Order Imbalance, Market Returns and Macroeconomic News: Evidence from the Australian Interest Rate Futures Market
SSRN Electronic Journal
◽
10.2139/ssrn.1960223
◽
2011
◽
Author(s):
Lee A. Smales
Keyword(s):
Interest Rate
◽
Futures Market
◽
Market Returns
◽
Macroeconomic News
◽
Order Imbalance
◽
Interest Rate Futures
Download Full-text
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework
SSRN Electronic Journal
◽
10.2139/ssrn.882665
◽
1995
◽
Author(s):
Ramaprasad Bhar
◽
Carl Chiarella
Keyword(s):
Interest Rate
◽
Interest Rate Futures
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Market structure and microstructure, in international interest rate futures markets
Research in International Business and Finance
◽
10.1016/j.ribaf.2009.12.005
◽
2010
◽
Vol 24
(3)
◽
pp. 253-266
◽
Cited By ~ 2
Author(s):
Frank McGroarty
◽
Owain ap Gwilym
◽
Steve Thomas
Keyword(s):
Interest Rate
◽
Market Structure
◽
Futures Markets
◽
Interest Rate Futures
◽
Structure And Microstructure
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Interest rate futures and bank hedging
OR Spectrum
◽
10.1007/s002910050081
◽
1999
◽
Vol 21
(1-2)
◽
pp. 71-80
◽
Cited By ~ 3
Author(s):
Udo Broll
◽
Timothy W. Guinnane
Keyword(s):
Interest Rate
◽
Interest Rate Futures
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Interest rate futures
Demystifying Fixed Income Analytics
◽
10.4324/9781003045168-9
◽
2020
◽
pp. 236-280
Author(s):
Kedar Nath Mukherjee
Keyword(s):
Interest Rate
◽
Interest Rate Futures
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Order flow dynamics for prediction of order cancelation and applications to detect market manipulation
High Frequency
◽
10.1002/hf2.10026
◽
2019
◽
Vol 2
(1)
◽
pp. 4-36
Author(s):
Enrique Martínez Miranda
◽
Steve Phelps
◽
Matthew J. Howard
Keyword(s):
Flow Dynamics
◽
Market Manipulation
◽
Order Flow
Download Full-text
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