Technical analysis involves the prediction of asset price movements from inductive analysis
of past movements. We establish a number of stylized facts, including that technical analysis …

We analyze the structural determinants of two widely used measures of price discovery
between multiple markets that trade closely related securities. Using a structural …

In this paper we present an equilibrium model of commodity spot (st) and futures (ft) prices,
with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating …

We analyze exchange rates along with equity quotes for 3 German firms from New York
(NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price …

Variance‐ratio tests are routinely employed to assess the variation in return volatility over
time and across markets. However, such tests are not statistically robust and can be …

This paper explores the dynamics of price discovery between the Dow Jones Industrial
Average (DJIA) index and its three derivative products: the DIAMOND exchange‐traded fund …

We identify a period with a high concentration of informed yen/dollar traders active in Tokyo.
Findings include: Private information can, at times, be important, yet “normal” times are …

Abstract The Singapore Exchange (SGX), a small satellite market, successfully competes
with a large home market, the Osaka Securities Exchange (OSE), in trading the Nikkei 225 …

This study shows that the dominance of the overlapping trading hours of London and New
York in the price discovery of the EUR/USD and USD/JPY markets only applies on days with …

This study examines the temporal behavior of price discovery in the spot, ETF and futures
markets of the DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000. We document an …