Algorithmic quoting, trading, and market quality in agricultural commodity futures markets
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DOI: 10.1080/00036846.2020.1789060
Abstract: ABSTRACT This paper investigates the effect of algorithmic trading activity, as measured by quoting, on the corn, soybean, and live cattle commodity futures market quality. Using the CME’s limit-order-book data and a heteroscedasticity-based identification approach,… read more here.
Keywords: futures markets; trading; market; market quality ... See more keywords