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...
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H. Speight (2002), "Nonlinear Dynamics in High-Frequency Intraday Financial Data : Evidence for the UK Long Gilt Futures Market", The Journal of Futures Markets, 22(11), 1037-1057.David G. McMillan, Alan E. H Speight, " Nonlinear dynamics in high frequency intraday financial data: ...
Live news updates from March 6: US and UK impose new sanctions on Russian banks, Fed prepares to slash size of balance sheet on x (opens in a new window) Live news updates from March 6: US and UK impose new sanctions on Russian banks, Fed prepares to slash size of balance sheet on ...
Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market - Gwilym, Owain, et al. - 2005Ap Gwilym, Owain, Ian McManus and Stephen Thomas, 2005, Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market, Journal of Banking and Finance, 25(5), ...