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| Marsh, Julia W.; Pennings, Joost M.E.; Garcia, Philip. |
| Traders' perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liquidity models assume a linear price path, only 12% of traders perceive such a path. This raises questions on the validity of such models. There is considerable heterogeneity in the perceptions of the price path. While trader characteristics are often used to classify traders, trader characteristics do not explain the heterogeneity in perceptions. On the other hand, traders of a specific contract are associated with particular perceptions of the price path. This indicates that market microstructure may be... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/19014 |
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| Pennings, Joost M.E.; Garcia, Philip; Marsh, Julia W.. |
| In this paper we study futures market depth by examining the price path due to order imbalances thereby allowing us to directly gain insight in the execution costs due to a lack of market depth We propose a two dimensional market depth measure in which the price path due to order imbalances is described by an S-shape function. The proposed market depth measure is applied to transaction specific futures data from Euronext. Subsequently, we examine CBOT traders' perceptions about the price path due to order imbalances and examine the characteristics that are associated with a particular perception. The proposed market depth measure gives guidelines for improving market depth, and can be used to compare competitive futures contracts. It appears that the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/18989 |
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