Market making with price limits

Journal of Futures Markets

Volumn 16, Issue 6, 1996, Pages 677-696

  Kuserk, Gregory J ^a   Locke, Peter R ^a  

^a Office of the Chief Economist   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030495506     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199609)16:6<677::AID-FUT4>3.0.CO;2-C     Document Type: Article

References (14)

1. Brennan, M., (1986): "A Theory of Price Limits in Futures Markets," Journal of Financial Economics, 16:213-233.
2. Chance, D. (1994): "Futures Pricing and the Cost of Carry Under Price Limits," The Journal of Futures Markets, forthcoming.
3. Glosten, L. (1987): "Components of the Bid/Ask Spread and the Statistical Properties of Transactions Prices," Journal of Finance, 42:1293-1308.
4. Kodres, L. (1993): "Tests of Unhiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity," Journal of Business, 66:463-490.
5. Kodres, L. and O'Brien, D. (1994): "The Existence of Pareto Superior Price Limits," American Economic Review, 84(4).
6. Kuhn, B. A., Kuserk, G. J. and Locke, P. R. (1991): "Do Circuit Breakers Moderate Volatility? Evidence from October 1989," The Review of Futures Markets, 10:136-175.
7. Kuserk, G. J., and Locke, P. R. (1993): "Scalper Behavior in Futures Markets: An Empirical Examination," The Journal of Futures Markets, 13:409-431.
8. Kuserk, G., and Locke, P. R. (1994): "Market Maker Competition on Futures Exchanges," Journal of Derivatives, forthcoming.
9. Ma, Ch. K., Rao, R. P. and Sears, R. St. (1989): "Limit Moves and Price Resolution: The Case of the Treasury Bond Futures Market," The Journal of Futures Markets, 9:321-335.
10. Powers, M. James, (1966). "An Economic Analysis of the Futures Market for Pork Bellies," Dissertation, University of Wisconsin.
11. Silber, W. (1984): "Marketmaking Behavior in an Auction Market: An Analysis of Scalpers on Futures Markets," Journal of Finance, 38:937-953.
12. Smidt, S. (1985): "Trading Floor Practices on Futures and Securities Exchanges: Economics, Regulation, and Policy Issues," in Futures Markets: Regulatory Issues, Washington, DC: American Institute for Public Policy Research.
13. Sutrick, K. H. (1993): "Reducing the Bias in Empirical Studies Due to Limit Moves," The Journal of Futures Markets, 13:527-543.
14. Working, H. (1967): "Tests of a Theory Concerning Floor Trading on Commodity Exchanges," Food Research Institute Studies: Supplement, Stanford.