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Conference Paper
The use of interest rate futures by commercial banks
Spindt, Paul A.; Parkinson, Patrick M. (1985)
Proceedings , Paper 85

Report
Volatility and liquidity in futures markets
Locke, Peter; Sarkar, Asani (1996)
We study the provision of liquidity in futures markets as price volatility changes. For both active and inactive contracts, customer trading costs do not increase with volatility. However, for three of the four contracts studied, the nature of liquidity supply changes with volatility. Specifically, for relatively inactive contracts, customers as a group trade more with each other (and less with market makers) on higher volatility days. By contrast, for the most active contract, trading between customers and market makers increases with volatility. We also find that market makers' income per ...
Research Paper , Paper 9612

Journal Article
Derivative securities use grows as banks strive to hedge risks
anonymous (1999-01)
Financial Update , Volume 12 , Issue Jan , Pages 8-9

Report
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures
Menkveld, Albert J.; Sarkar, Asani; Van der Wel, Michel (2007)
Customer order flow correlates with permanent price changes in equity and non-equity markets. We examine macro news events in the thirty-year Treasury futures market to identify causality from customer flow to risk-free rates. We remove the positive feedback trading effect and establish that, in the fifteen minutes subsequent to the news, intermediaries rely on customer orders to determine a substantial part of the announcement?s effect on risk-free rates?about one-third relative to the instantaneous effect. Intermediaries appear to benefit from privately observing informed customers, since ...
Staff Reports , Paper 307

Journal Article
Financial futures for banks
Bennett, Barbara (1983)
FRBSF Economic Letter

Journal Article
The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare?
Jagannathan, Ravi; Chari, V. V. (1990-07)
This paper uses a simple, graphical approach to analyze what happens to commodity prices and economic welfare when futures markets are introduced into an economy. It concludes that these markets do not necessarily make prices more or less stable. It also concludes that, contrary to common belief, whatever happens to commodity prices is not necessarily related to what happens to the economic welfare of market participants: even when futures markets reduce the volatility of prices, some people can be made worse off. These conclusions come from a series of models that differ in their assumptions ...
Quarterly Review , Volume 4 , Issue Sum , Pages 12-24

Report
Estimating the adverse selection and fixed costs of trading in markets with multiple informed traders
Sarkar, Asani; Wu, Lifan; Chakravarty, Sugato (1998)
We investigate, both theoretically and empirically, the relation between the adverse selection and fixed costs of trading and the number of informed traders in a financial asset. As a proxy for informed traders, we use dual traders -- i.e., futures floor traders who execute trades both for their own and customers' accounts on the same day. Our theoretical model shows that dual traders optimally mimic the size and direction of their informed customers' trades. Further, the adverse selection (fixed) costs of trading: (1) decrease (increase) with the number of dual traders m, if dual traders are ...
Research Paper , Paper 9814

Journal Article
Managing interest rate risk with interest rate futures
Morris, Charles S. (1989-03)
Economic Review , Volume 74 , Issue Mar , Pages 3-20

Newsletter
Setting futures margins: who?...and how high?
O'Neil, Maureen V.; Baer, Herbert L. (1988-05)
Chicago Fed Letter , Issue May

Report
Price limits and volatility in soybean meal futures markets
Cantor, Richard (1989)
Research Paper , Paper 8904

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