Showing papers on "Algorithmic trading published in 1976"
TL;DR: In this paper, the effect of organized futures trading on information in spot markets is investigated, and the empirical evidence indicates that futures trading increases traders' information about forces affecting supply and demand.
Abstract: This paper investigates the effect of organized futures trading on information in spot markets. First, a model is developed that relates spot-price behavior and market information. The model can be viewed as a particular efficient markets model; this connection provides additional implications about price behavior and information. Next, price series for six different commodities are investigated for an information effect of futures trading. For each commodity, the empirical evidence indicates that futures trading increases traders' information about forces affecting supply and demand.
316 citations
TL;DR: The theoretical literature available on the subject of futures trading and price stability is rather scanty and inconclusive as mentioned in this paper, and most of the evidence has been gathered on onion and potato prices, which suggests that the seasonal price range is lower with a futures market because of speculative support at harvest time, sharp adjustments at the end of a marketing season are diminished under futures trading because they have been better anticipated.
Abstract: One of the recurring arguments made against futures markets is that, by encouraging or facilitating speculation, they give rise to price instability. This argument, in various versions, has been made throughout past Congressional hearings on onion and potato futures. The theoretical literature available on the subject of futures trading and price stability is rather scanty and inconclusive. Most of the evidence has been gathered on onion and potato prices. It suggests that: a) the seasonal price range is lower with a futures market because of speculative support at harvest time; b) sharp adjustments at the end of a marketing season are diminished under futures trading because they have been better anticipated; and c) year-to-year price fluctuations are reduced under futures trading because of the existence of the futures market as a reliable guide to production planning. See Roger Gray, and Holbrook Working (1958, 1960, 1963).
123 citations
TL;DR: In this article, the focus is on the NYSE-initiated suspensions, which occur quite frequently (almost three per day on average), and typically last about two hours.
Abstract: A temporary trading suspension in a listed security represents a temporal discontinuity in a continuous auction market. Although the SEC occasionally suspends trading in specific securities, the NYSE itself administratively halts trading in individual NYSE issues. The latter occur quite frequently (almost three per day on average), and typically last about two hours. NYSE-initiated suspensions are the focus of the present paper.
27 citations
01 Jan 1976
TL;DR: Paper futures are contracts which provide for the delivery of the contracted goods; but in fact in many futures markets only a small proportion of all contracts are settled by actual delivery as discussed by the authors.
Abstract: Futures trading in an organised commodity market or exchange consists of the sale and purchase of the commodity through the medium of highly standardised futures contracts (called futures) which provide for the delivery of the defined subject-matter at defined future dates. Futures contracts are contracts which provide for the delivery of the contracted goods; but in fact in many futures markets only a small proportion of all contracts are settled by actual delivery. Hence futures markets are sometimes also referred to as paper markets; it is possible to deal in futures without ever actually seeing or handling the physical commodity.
7 citations
Book•
01 Jan 1976
1 citations