Like a stroppy teenager with its parent, markets can miss inflation badly when it is gone but sulk when it returns. UK gilts prices slipped on Wednesday’s report of a higher-than-expected 2.5 per cent annual rise in theconsumer price index. This news will put pressure on the Bank of En...
LiquidityOrder BookResilienceWe analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book dataset to assess liquidity resilience to sources of pressure such as policy operations or episodes of financial distress. Our results provide evidence in favour of resilience. We...
long gilt futures market. Journal of Futures Markets 22, 1037-1057.Nonlinear dynamics in high-frequency intraday financial data: Evidence for the UK long gilt futures market David G McMillan, Alan E H Speight. The Journal of Futures Markets. Hoboken: Nov. 2002. vol. 22, Iss. 11; p. ...
The falls across Asia also followed declines in the US, where traders reacted to data showing that energy prices had pushed inflation in the OECD group of rich countries to a 30-year high, as well as to the threat of renewed western sanctions against Russia. Wall Street’s benchmark S&P...
ap Gwilym, O, McManus, I, Thomas, S (2005) Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market. J Futures Mark 25: 419-442.ap Gwilym O, McManus I, Thomas S (2005) Fractional versus decimal pricing: evidence from the UK Long Gilt futures market. J Futures...