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| Author: | Ferguson, M.F. Mann, S.C. |
| Title: | Execution costs and their intraday variation in futures markets |
| Journal: | Journal of Business
2001 : JAN, VOL. 74:1, p. 125-160 |
| Index terms: | COSTS FUTURES MARKETS TRADING |
| Language: | eng |
| Abstract: | The authors consider trading costs in the transparent, competitive open outcry markets of the Chicago Mercantile Exchange (CME), in which market makers have no affirmative obligation to trade. They document that while CME spreads are similar in magnitude to those in other markets, realized spreads are often negative. |
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