Futures markets promise improved price transparency and risk mitigation for staple
commodities important to many developing countries, but they can fail even in developed …

This paper investigates dynamic returns and volatility spillovers between spot and futures
markets in a dual financial system. It further analyses the shock transmission of both volume …

Frequent call markets have been proposed as a market design solution to the latency arms
race perpetuated by high-frequency traders in continuous markets, but the path to …

We implement a laboratory financial market where traders can access costly technology that
reduces communication latency with a remote exchange. In this environment, we conduct a …

We review the literature on derivatives in emerging markets. This young but booming
literature appears to be concentrated on a few countries, but is quite rich in terms of subject …

We study the effect of latency arbitrage on allocative efficiency and liquidity in fragmented
financial markets. We employ a simple model of latency arbitrage in which a single security …

BACKGROUND e nancial industry has always been driven by data. Today, Big Data is
prevalent at various levels of this eld, ranging from the nancial services sector to capital …

Abstract On J uly 29, 2002, the trading mechanism in the T aiwan F utures E xchange
(TAIFEX) was switched from an exclusive call market to a continuous auction market. Based …

This paper examines the order flow diversion hypothesis using cross-listed Singapore
Exchange (SGX) futures contracts to test if the existence of an off-shore market causes the …

Financial market quality is generally assessed with respect to efficiency, liquidity, and
stability. The frequency of trading contributes to these attributes. The Taiwan Stock …