Fairfax, VA 22030
George Mason University - Finance Area
in Total Papers Downloads
in Total Papers Citations
Regular index futures, E-mini index futures, Market quality, Market fragmentation, Contract size and Clientele differences
Index Futures, Market Quality, Transaction Tax
algorithmic trades [AT], execution algorithms, earnings announcements
Microstructure, foreign exchange futures markets, floor versus screen trading
realized variation, bipower variation, jump statistics, interest rate futures, macro announcements, price and trading volume patterns
Price Impact, Futures markets
Liquidity Provision, Limit Order Market, Informed Traders, Individual Traders
: Price volatility, Trading Frequency, Trade Size, Change in Size of Futures Contracts.
Market Price Impacts, Liquidity Effects, Information Effects, Large Trades, Futures Price Behavior
Individuals, Day trading, Foreign institutional trading, Trading strategies, Liquidity, Volatility
Behavioral finance, Information shares, Investor sentiment, Lead-lag relation, Pricing dynamics
Weather, Inventory, Volatility Jump Dynamics, Natural Gas Futures, Spot Markets
realized variation, bipower variation, jump statistics, energy futures price, trading volume behavior and inventory news events
financial transaction tax, US financial market regulation, bank regulation in the United States, American financial market laws, federal regulation of the financial industry
Large Trades, Trader Types, Total Price Effects, Liquidity Effects, Information Effects, Futures Price Behavior
R11, R14, R21
Margins, Trading activity, Trader types, Liquidity, Volatility
Limit-order book; Order aggressiveness; Trading patience; Pre-trade transparency; Trader types
Transaction Tax, Trading volume, Bid-Ask spread, Price Volatility, Futures Markets
Information shares, Investor sentiment, Lead-lag relation, Limits to arbitrage
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