Search Results
Report
Are market makers uninformed and passive? Signing trades in the absence of quotes
Menkveld, Albert J.; Sarkar, Asani; Van der Wel, Michel
(2009)
We develop a new likelihood-based approach to signing trades in the absence of quotes. This approach is equally efficient as the existing Markov-chain Monte Carlo methods, but more than ten times faster. It can address the occurrence of multiple trades at the same time and allows for analysis of settings in which trade times are observed with noise. We apply this method to a high-frequency data set of thirty-year U.S. Treasury futures to investigate the role of the market maker. Most theory characterizes the market maker as an uninformed, passive supplier of liquidity. Our findings suggest, ...
Staff Reports
, Paper 395
Working Paper
A survey of exchange-traded basket instruments
Kupiec, Paul H.
(1989)
Finance and Economics Discussion Series
, Paper 62
Journal Article
Consistent margin requirements: are they feasible?
Estrella, Arturo
(1988-07)
Quarterly Review
, Volume 13
, Issue Sum
, Pages 61-79
Monograph
Options on money market futures
Kuprianov, Anatoli
(1998)
Monograph
Journal Article
Margin requirements on equity instruments
Sofianos, George
(1988-07)
Quarterly Review
, Volume 13
, Issue Sum
, Pages 47-60
Report
The high-frequency response of energy prices to monetary policy: understanding the empirical evidence
Rosa, Carlo
(2013)
This paper examines the impact of conventional and unconventional monetary policy on energy prices, using an event study with intraday data. Three measures for monetary policy surprises are used: 1) the surprise change to the current federal funds target rate, 2) the surprise component to the future path of policy, and 3) the unanticipated announcements of future large-scale asset purchases (LSAPs). Estimation results show that monetary policy news has economically important and highly significant effects on the level and volatility of energy futures prices and their trading volumes. I find ...
Staff Reports
, Paper 598
Journal Article
CPI futures
Dew, Kurt
(1978)
FRBSF Economic Letter
Working Paper
Futures margins and stock price volatility: is there any link?
Kupiec, Paul H.
(1990)
Finance and Economics Discussion Series
, Paper 104
Working Paper
Is there Lif(f)e after DTB?: competitive aspects of cross listed futures contracts on synchronous markets
Moser, James T.; Kofman, Paul; Bouwman, Tony
(1993)
Working Paper Series, Issues in Financial Regulation
, Paper 93-11
Working Paper
The Fed funds futures rate as a predictor of Federal Reserve policy
Krueger, Joel; Kuttner, Kenneth N.
(1995)
Working Paper Series, Macroeconomic Issues
, Paper 95-4
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