Bid ask spreads in commodity futures markets

Posted: Parasenok On: 29.05.2017

Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First we apply competing spread estimators to open outcry transactions data and compare resulting estimates to observed spreads.

Commodity Bid Ask Spread – The Economic Times

This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to evaluate the usefulness and accuracy of bid-ask estimators in markets that do not report bid and ask data, providing an idea of the "worst-case" transaction costs that are likely to be incurred.

We also compare spreads observed before and after trading was automated and made anonymous on commodity futures markets, and discover that spreads have generally widened since trading was automated, and that they have an increased tendency to widen in periods of high volatility.

Our findings suggest that commodity futures markets have an inherently different character than financial futures markets, and therefore merit separate investigation.

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bid ask spreads in commodity futures markets

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bid ask spreads in commodity futures markets

Stoll, Hans R, An Empirical Study of NASDAQ Stocks ," Journal of Finance , American Finance Association, vol. An Empirical Study of NASDAQ Stocks ," Rodney L. White Center for Financial Research Working Papers , Wharton School Rodney L. White Center for Financial Research.

Silber, William L, An Analysis of Scalpers in Futures Markets ," Journal of Finance , American Finance Association, vol. An Analysis of Execution Costs on the Paris and New York Exchanges ," Journal of Finance , American Finance Association, vol.

CiteSeerX — Bid-Ask Spreads in Commodity Futures Markets

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bid ask spreads in commodity futures markets

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Log in now much improved! Bid-Ask Spreads In Commodity Futures Markets. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections.

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