Execution Costs and Their Intraday Variation in Futures Markets
- 1 January 2001
- journal article
- Published by University of Chicago Press in The Journal of Business
- Vol. 74 (1) , 125-160
- https://doi.org/10.1086/209666
Abstract
We consider trading costs in the transparent, competitive open outcry markets of the Chicago Mercantile Exchange (CME), in which market makers have no affirmati...Keywords
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