SCALPER BEHAVIOR IN FUTURES MARKETS - AN EMPIRICAL-EXAMINATION

被引:36
作者
KUSERK, GJ
LOCKE, PR
机构
关键词
D O I
10.1002/fut.3990130407
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
[No abstract available]
引用
收藏
页码:409 / 431
页数:23
相关论文
共 17 条
[1]   DEALERSHIP MARKET - MARKET-MAKING WITH INVENTORY [J].
AMIHUD, Y ;
MENDELSON, H .
JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) :31-53
[2]  
Bagehot W., 1971, FINANCIAL ANAL J, V27, P22
[3]  
Bagehot W., 1971, FINANC ANAL J, V27, P12
[4]   LIQUIDITY COSTS AND SCALPING RETURNS IN THE CORN FUTURES MARKET [J].
BRORSEN, BW .
JOURNAL OF FUTURES MARKETS, 1989, 9 (03) :225-236
[5]   INFORMATION EFFECTS ON THE BID-ASK SPREAD [J].
COPELAND, TE ;
GALAI, D .
JOURNAL OF FINANCE, 1983, 38 (05) :1457-1469
[6]  
DEMSETZ H, 1968, Q J ECON, V82, P31
[7]   BID, ASK AND TRANSACTION PRICES IN A SPECIALIST MARKET WITH HETEROGENEOUSLY INFORMED TRADERS [J].
GLOSTEN, LR ;
MILGROM, PR .
JOURNAL OF FINANCIAL ECONOMICS, 1985, 14 (01) :71-100
[8]   OPTIMAL DEALER PRICING UNDER TRANSACTIONS AND RETURN UNCERTAINTY [J].
HO, T ;
STOLL, HR .
JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) :47-73
[9]   THE MICROECONOMICS OF MARKET MAKING [J].
OHARA, M ;
OLDFIELD, GS .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1986, 21 (04) :361-376
[10]   MARKETMAKER BEHAVIOR IN AN AUCTION MARKET - AN ANALYSIS OF SCALPERS IN FUTURES MARKETS [J].
SILBER, WL .
JOURNAL OF FINANCE, 1984, 39 (04) :937-953