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High Frequency Trading and Its Impact on Market Quality in U.S. Futures Market
Title
High Frequency Trading and Its Impact on Market Quality in U.S. Futures Market
Creator
Wang, Chao
Date
2020
Description
This research focuses on the effects of high frequency trading (HFT) on market liquidity in US futures market. This research utilizes a unique...
Show moreThis research focuses on the effects of high frequency trading (HFT) on market liquidity in US futures market. This research utilizes a unique data set consisting of all book events for multiple underlying assets and contracts during calendar year 2018, covering all trading days information of E-mini S&P 500, Gold, Eurodollar, Crude Oil, Corn and Soybean futures with their nearby and deferred contract data each day. This study extends findings from existing HFT equity research (e.g. Brocher et al., 2016; Frino et al., 2019, etc.) that HFT promotes market liquidity, into the commodity market. It also addresses HFT’s contributions to price discovery, and find it varies by types of commodities. Furthermore, the research identifies how an HFT phenomenon, the Cancel Cluster, impacts the futures market. Also, this research verifies and extends the models in Frino et al. (2019) to multiple commodities. Finally, a series of promising future analyses are suggested.
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Foregrounding Temporality to Design with Emerging Futures
Title
Foregrounding Temporality to Design with Emerging Futures
Creator
Heidaripour, Maryam
Date
2020
Description
The rhetoric of today’s economy has framed entrepreneurship as a key contributor to inventing the future, which raises questions about who is...
Show moreThe rhetoric of today’s economy has framed entrepreneurship as a key contributor to inventing the future, which raises questions about who is counted as an insider, how the future is being designed, and for whom. The concentration of future-making has too long been in the hands of a few, given future’s tremendous impact on the many. This dissertation joins the growing body of scholarly explorations on channeling the design capacity to transition toward a future with a plural world system, where the economy offers a multiplicity of possibilities. Central to this exploration is to rethink how shaping futures might be done differently, with different people, and in different forms.By incorporating feminist temporality, I challenge the established mode of design investigation. My empirical chapters demonstrate the ways in which sharpening our temporal sensitivity could impact what we study, how we study it, and what we can find. In particular, I rearrange the power dynamics in design activities by opening up the position of knower to the emerging collectives. I then introduce the concept of designing a time-space yet to come that makes you wonder—an open invitation to rethink who we are and what we want to become.While it remains to be seen whether this contribution will have a meaningful impact on design knowledge, I argue that it makes a solid case for incorporating feminism in design. Feminist theory offers the theoretical underpinning for ontological reframing of design and helps us understand what other forms of design practice are emerging in this era of increasing complexity. I conclude with my take on an emerging design practice where the fundamental element of design is to enable other ways of knowing to inquire about what they truly want to become.
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Contract Rollover and Volatility
Title
Contract Rollover and Volatility
Creator
Chen, Yue
Date
2022
Description
In futures markets, approaching the expiration days, most market participants close out existing positions of front month contract and open...
Show moreIn futures markets, approaching the expiration days, most market participants close out existing positions of front month contract and open new positions of next month contract. The object of this dissertation is to evaluate the impact of contract rollover activities on unconditional volatility and conditional volatility modeling. First, two contract rollover measures, volume ratio and open interest ratio of front contract over next contract are created. Second, this study investigates the impact of contract rollover measures on both unconditional volatility estimation models and conditional volatility estimation models. Third, it examines the roles of contract rollover activities in unconditional volatility prediction models. Last, to further explore the relationship between contract rollover measures and unconditional volatilities, the vector autoregressive model is conducted to test granger causality. The findings show that the volume ratio and open interest ratio have significant impact on unconditional volatilities and conditional volatility in soybean, wheat, gold, copper, crude oil, and natural gas futures markets, except on conditional volatility in silver futures market. Alternative models that incorporate contract rollover measures outperform benchmark models that do not incorporate contract rollover measures in both estimation models and prediction models. Moreover, the findings provide the strong evidence that there is significant bidirectional granger causality among volume ratio, open interest ratio and unconditional volatilities in all investigated futures markets. The empirical results confirm the important role of contract rollover on volatility behavior and are beneficial to futures exchanges to set and monitor margins precisely for their customer’s trading accounts in commodity futures markets.
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