This paper provides empirical evidence on the relationship between trading volumes, volatility and bidask spreads in foreign exchange markets. It uses a new data set that includes daily data on trading volumes for the dollar exchange rates of seven currencies from emerging market countries. The sample period is 1 January 1998 to 30 June 1999. The results are broadly consistent with the findings...

An empirical test on long memory between price and trading volume of China metals futures market was given with MF-DCCA method. The empirical results show that long memory feature with a certain period exists in price−volume correlation and a further proof was given by analyzing the source of multifractal feature. The empirical results suggest that it is of important practical significance to b...

This paper explores the impact of investor flows and financial market conditions on returns in crude-oil futures markets. I argue that informational frictions and the associated speculative activity may induce prices to drift away from “fundamental” values, and may result in booms and busts in prices. Particular attention is given to the interplay between imperfect information about real econom...

Neuro-evolution of augmenting topologies (NEAT) is a recently developed neuro-evolutionary algorithm. This study uses NEAT to evolve dynamic trading agents for the German Bond Futures Market. High frequency data for three German Bond Futures is used to train and test the agents. Four fitness functions are tested and their out of sample performance is presented. The results suggest the methodolo...

Although frequent fluctuations in domestic hog prices seriously affect the stability and robustness of the hog supply chain, hog futures (an effective hedging instrument) have not been listed in China. To better understand hog futures market hedging, it is important to study the steady state of intersubjective bidding. This paper uses evolutionary game theory to construct a game model between h...

This paper presents a simple theoretical modei of the spot and futures markets for a storable commodity. We focus our attention in particular on the classical futures markets, those for harvested storable commodities. For these commodities which include grains such as wheat, corn, and soybeans, while there is active trading on the spot and futures markets at each instant, the output of the prod...

This paper assesses how market fundamentals affect asset return volatility by drawing on evidence from the U.S. natural gas futures market. One of the novel features of this paper is the use of the deviation of temperatures from normal (weather surprise) as a proxy for demand shocks and a determinant of the conditional volatility of natural gas futures returns. I estimate a GARCH model using da...

We provide an explanation for the explosive growth in the popularity of Stock Index Futures contracts. In our economy there are three broad classes of traders that place orders with a competitive market maker that sets a bid-ask spread arising from adverse selection. Informed traders trade on the basis of their private information about the value of particular securities. Liquidity traders trad...

traded against two simple orders or another combination. Liquidity is enhanced by matching simple orders against combination orders whenever possible. As long as prices are available in one contract and in the combination market, liquidity is automatically transmitted to all contracts. Although SOFFEX has implemented a subset of these combination functions, the implications of this functionalit...

This paper applies an established bid-ask spread decomposition model to short-term interest rate (STIR) futures to assess the impact of both the migration from floor to electronic trading and European Monetary Union (EMU). Additionally, the paper presents and tests a modified decomposition model which is specifically adapted to the features of order-driven markets. The latter model provides muc...