Johan Bjursell

Credit Suisse AG

CRTI 4

P.O. Box

Zurich, CH-8070

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

453

SSRN CITATIONS

2

CROSSREF CITATIONS

5

Scholarly Papers (3)

1.

Volatility and Trading Activity Following Changes in the Size of Futures Contracts

Number of pages: 30 Posted: 03 Feb 2008
Johan Bjursell, Alex Frino, Yiuman Tse and George H. K. Wang
Credit Suisse AG, The University of Sydney - Discipline of Finance, University of Texas at San Antonio - College of Business and George Mason University - Department of Finance
Downloads 193 (171,457)
Citation 1

Abstract:

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: Price volatility, Trading Frequency, Trade Size, Change in Size of Futures Contracts.

2.

Large Trades and Intraday Futures Price Behavior

Journal of Futures Markets, Vol. 28, No. 12, pp. 1147-1181, December 2008
Number of pages: 49 Posted: 18 Dec 2008
The University of Sydney - Discipline of Finance, Credit Suisse AG, George Mason University - Department of Finance and University of Sydney
Downloads 164 (197,812)

Abstract:

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Market Price Impacts, Liquidity Effects, Information Effects, Large Trades, Futures Price Behavior

3.

VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets

Journal of Futures Markets, Forthcoming
Number of pages: 49 Posted: 21 Mar 2017
Johan Bjursell, George H. K. Wang and Hui Zheng
Credit Suisse AG, George Mason University - Department of Finance and Discipline of Finance, The University of Sydney
Downloads 96 (296,302)
Citation 1

Abstract:

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VPIN, Order floow toxicity, Price jumps, Inventory announcements, Crude oil futures, Natural gas futures