Measuring the summary informativeness of orders and trades

Chng, Michael T. 2005, Measuring the summary informativeness of orders and trades, Review of futures markets, vol. 14, no. 2, Fall, pp. 245-281.

Attached Files
Name Description MIMEType Size Downloads

Title Measuring the summary informativeness of orders and trades
Author(s) Chng, Michael T.
Journal name Review of futures markets
Volume number 14
Issue number 2
Season Fall
Start page 245
End page 281
Publisher Kent State University
Place of publication Kent, Ohio
Publication date 2005
ISSN 1933-7116
Keyword(s) order size
trade size
price discovery
trading dynamics
Summary Improved preservation of order flow history from the automation of derivative trading platforms suggests that traders are potentially learning from the recent history of both order and trade parameters. Consequently, a model to measure price discovery should encapsulate the dynamic interaction between the price-size coordinates of orders and trades. The Hasbrouck (1991) model is extended to measure the summary informativeness of order size and trade size. The two models are used to test for price discovery improvements in the FTSE 100 index futures market from order flow consolidation post deletion of its E-mini counterpart. The informativeness of trades has declined sharply, while the informativeness of orders has risen significantly in the post deletion sample.
Language eng
Field of Research 140299 Applied Economics not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30021895

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Access Statistics: 376 Abstract Views, 3 File Downloads  -  Detailed Statistics
Created: Mon, 18 Jan 2010, 11:01:27 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.