Staff Publications

Staff Publications

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    'Staff publications' is the digital repository of Wageningen University & Research

    'Staff publications' contains references to publications authored by Wageningen University staff from 1976 onward.

    Publications authored by the staff of the Research Institutes are available from 1995 onwards.

    Full text documents are added when available. The database is updated daily and currently holds about 240,000 items, of which 72,000 in open access.

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Record number 333728
Title Perceptions of Futures Market Liquidity: An Empirical Study of CBOT & CME Traders
Author(s) Marsh, J.W.; Pennings, J.M.E.; Garcia, P.
Event NCR-134 Conference: Applied Commodity Price Analysis, Forecasting, and Market Risk Management, 2004-04-19/2004-04-20
Department(s) Marketing and Consumer Behaviour
Publication type Contribution in proceedings
Publication year 2004
Abstract Practitioner's Abstract: 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 the primary driver of traders' perceptions of the price path. Keywords: Liquidity, market depth, market microstructure, trader behavior/perceptions
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