Trader types and fleeting orders: Evidence from Taiwan Futures Exchange
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DOI: 10.1002/fut.21963
Abstract: This paper investigates the relation between trader type and fleeting order strategy based on unique data from Taiwan Futures Exchange. We find that fleeting orders are more commonly used by institutional traders than individual traders.… read more here.
Keywords: taiwan futures; trader; fleeting orders; fleeting order ... See more keywords
Markets with heterogeneous beliefs: A necessary and sufficient condition for a trader to vanish
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DOI: 10.1016/j.jedc.2017.03.008
Abstract: What does it take to survive in the market? Previous literature has proposed sufficient conditions for a trader to vanish, which depend on pairwise comparisons of traders’ discounted beliefs. We propose a novel condition that… read more here.
Keywords: trader vanish; condition; trader; necessary sufficient ... See more keywords
Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios
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DOI: 10.3390/en13143578
Abstract: With an increasing share of renewable energy resources participating in electricity markets, there is a growing dependence between renewable power production and clearing prices of spot markets. Modeling this dependence using bivariate analysis can result… read more here.
Keywords: risk; portfolio; trader; electricity ... See more keywords