High Frequency Quoting in the Futures Markets
Stuart School of Business research presentation by: Chao Wang, Stuart Ph.D. student
High Frequency Quoting in the Futures Markets
- Chao Wang, Stuart Ph.D. student
Abstract:
Blocher et. al. (2015) studied the phenomena of cancel clusters in the stock market to see if there was evidence that they were being used to disadvantage low frequency trades. This study futures contracts to discover whether the conclusion that high frequency quoting and cancellation is consistent with price discovery.
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