Extreme price clustering in the London equity index futures and options markets

Gwilym, Owain ap; Clare, Andrew; Thomas, Stephen

doi:10.1016/s0378-4266(98)00054-5

Cited by 80 publications

(64 citation statements)

References 6 publications

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“…The most notable contributions include Harris (1991), , Christie, Harris and Schultz (1994), Kleidon and Willig (1995), Aitken, Brown, Buckland, Izan and Walter (1996), Grossman, Miller, Fischel, Cone and Ross (1997), Woodward (1998), Weston (2000), Kandel, Sarig and Wohl (2001) and Brown, Chua and Mitchell (2002). Additionally, some prior work focuses on futures markets, including papers by Ball, Torous and Tschoegl (1985), Brown, Laux and Schachter (1991), ap Gwilym, Clare and Thomas (1998aand 1998b and ap Gwilym and Alibo (2003).…”

Section: The Importance Of Price Discreteness and Price Clusteringmentioning

confidence: 99%

Microstructure effects, bid–ask spreads and volatility in the spot foreign exchange market pre and post-EMU

McGroarty

Gwilym

Thomas

2006

Global Finance Journal

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Section: The Importance Of Price Discreteness and Price Clusteringmentioning

confidence: 99%

Microstructure effects, bid–ask spreads and volatility in the spot foreign exchange market pre and post-EMU

McGroarty

Gwilym

Thomas

2006

Global Finance Journal

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“…Tacit collusion is often a reality in the open-outcry markets (Gwilym, Clare, & Thomas, 1998;Pirrong, 1996). In addition, locals in the open-outcry exchanges are able to extract super-competitive profits from trading against the orders of off-exchange customers (Ferguson & Mann, 2001).…”

Section: Literature Review and Current Analysismentioning

confidence: 99%

Do designated market makers improve liquidity in open‐outcry futures markets?

Tse

Zabotina

2004

Journal of Futures Markets

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On February 1, 2002, the Chicago Board of Trade appointed a designated market maker to enhance liquidity in its 10‐year interest rate swap futures contract. This market‐making program is the first of its kind in the open‐outcry futures industry. We find that introduction of the market maker has increased volume and reduced transaction costs. The market maker has also enhanced the speed and the efficiency of price discovery. Overall, the results suggest that the market‐making program is successful in improving liquidity. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:479–502, 2004

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“…the U.S. and other equity markets (Aitken, Brown, Buckland, Izan, & Walter, 1996;Buckland, 1994;Hameed & Terry, 1998;Harris, 1991;Osborne, 1962) and, to a lesser degree, on currency markets (De Grauwe & Decupere, 1992;Goodhart & Curcio, 1991). Clustering is further documented in derivatives, that is, options and futures markets (Gwilym, Clare, & Thomas, 1998a, 1998b, and other financial markets and variables. 2 The recent renewed interest in the clustering phenomenon is in part driven by the need to understand and explain why it occurs in financial markets.…”

Section: Overview Of the Literature On Clustering And Psychological Bmentioning

confidence: 99%

Clustering and psychological barriers: the importance of numbers

Mitchell¹

2001

Journal of Futures Markets

100

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The contemporary press frequently makes mention of, and identifies significance with, specific numerical values in financial markets. This focus has been suggested to result in clustering. Furthermore, these symbolic numbers are often referred to as psychological barriers. These effects are identified as a widespread phenomenon permeating into the economic decision making and financial market environments. This article outlines various arguments and rationale from the cultural, economic, and behavioral literature why clustering and other effects such as psychological barriers may be expected in financial markets. Evidence across a variety of literatures suggests that financial market clustering derives from a variety of sources. There is evidence from a cultural and conventional basis to suggest that number preference exists and that there is a natural tendency to round that derives from the development of the modern decimal system. The literature also provides valid behavioral and economic reasons as to why these effects may occur. However, no evidence is found to support the notion that clustering or barriers in financial markets would occur as a result of a natural order or as a product of the number progression or simply from the numbers themselves. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:395–428, 2001

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Extreme price clustering in the London equity index futures and options markets

Cited by 80 publications

References 6 publications

Microstructure effects, bid–ask spreads and volatility in the spot foreign exchange market pre and post-EMU

Microstructure effects, bid–ask spreads and volatility in the spot foreign exchange market pre and post-EMU

Do designated market makers improve liquidity in open‐outcry futures markets?

Clustering and psychological barriers: the importance of numbers

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