Liquidity supply and volatility: Futures market evidence

Journal of Futures Markets

Volumn 21, Issue 1, 2001, Pages 1-17

  Locke, Peter R ^a   Sarkar, Asani ^b  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

^b FEDERAL RESERVE BANK OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035545375     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/1096-9934(200101)21:1<1::AID-FUT1>3.0.CO;2-4     Document Type: Article

References (10)

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3. Handa, P., & Schwartz R. A. (1995). Limit order trading. Working Paper, New York University.
4. Kumar, P., & Seppi D. (1994). Limit and market orders with optimizing traders. Carnegie Mellon University, Working Paper.
5. Kuserk, G. J, & Locke P. R. (1993). Scalper behavior in futures, markets: An empirical examination. Journal of Futures Markets, 13: 409-431.
6. Locke, P., & Venkatesh P. C. (1997). Futures market transactions costs. Journal of Futures Markets, 17, 229-245.
7. Manaster, S., & Mann, S. (1996). Life in the pits: Competitive market making and inventory control. Review of Financial Studies, 9, 953-975.
8. Sarkar, A., & Tozzi M. (1998). Electronic trading on futures exchanges. Current Issues in Economics and Finance, 4.
9. Silber, W. L., (1984). Marketmaker behavior in an auction market: An analysis of scalpers in futures markets. Journal of Finance, 39, 937-953.
10. Smidt, S. (1985). Trading floor practices on futures and securities exchanges: Economics, regulation and policy issues. In Anne E. Peck (Ed.), Futures Markets: Regulatory Issues. pp. 49-142, Washington, D.C.: American Enterprise Institute for Public Policy Research.