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Applied Economics Volume 52, 2020 - Issue 58
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Research Article

Algorithmic quoting, trading, and market quality in agricultural commodity futures markets

Zhepeng HuDepartment of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign, Urbana, IL, USAView further author information
,
Teresa SerraDepartment of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign, Urbana, IL, USACorrespondence[email protected]
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&
Philip GarciaDepartment of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign, Urbana, IL, USAView further author information
Pages 6277-6291 | Published online: 20 Jul 2020

Citations (7)

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Devika Arumugam & P Krishna Prasanna. (2021) A Game of Hide-and-Seek between Proprietary and Buy-Side Algorithmic Traders: Causal links with Market Quality. Applied Economics 53:41, pages 4788-4798.
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Articles from other publishers (6)

Tao Xiong & Miao Li. (2024) Does market quality benefit from internationalization? Evidence from Chinese commodity futures markets. Research in International Business and Finance 70, pages 102332.
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Kun Peng, Zhepeng Hu & Michel A. Robe. (2024) Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets. Journal of Futures Markets 44:5, pages 803-825.
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Barkha Dhingra, Shallu Batra, Vaibhav Aggarwal, Mahender Yadav & Pankaj Kumar. (2023) Stock market volatility: a systematic review. Journal of Modelling in Management 19:3, pages 925-952.
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Mahdi Massahi & Masoud Mahootchi. (2024) A deep Q-learning based algorithmic trading system for commodity futures markets. Expert Systems with Applications 237, pages 121711.
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Miao Li & Tao Xiong. (2023) Is China's new live hog futures market efficient? Evidence from an analysis of market quality, price discovery and hedging effectiveness. Australian Journal of Agricultural and Resource Economics 68:1, pages 186-205.
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Kun Peng, Zhepeng Hu & Michel A. Robe. (2023) Maximum Order Size and Market Quality: Evidence from a Natural Experiment in Commodity Futures Markets. SSRN Electronic Journal.
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