Perceptions of Futures Market Liquidity: An Empirical Study of CBOT & CME Traders

J.W. Marsh; J.M.E. Pennings; P. Garcia

Perceptions of Futures Market Liquidity: An Empirical Study of CBOT & CME Traders

J.W. Marsh
, J.M.E. Pennings
, P. Garcia

Marketing and Consumer Behaviour

Research output: Contribution to conference › Conference paper › Academic › peer-review

Abstract

Practitioner's Abstract: Traders' perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liquidity models assume a linear price path, only 12% of traders perceive such a path. This raises questions on the validity of such models. There is considerable heterogeneity in the perceptions of the price path. While trader characteristics are often used to classify traders, trader characteristics do not explain the heterogeneity in perceptions. On the other hand, traders of a specific contract are associated with particular perceptions of the price path. This indicates that market microstructure may be the primary driver of traders' perceptions of the price path. Keywords: Liquidity, market depth, market microstructure, trader behavior/perceptions

Original language	English
Number of pages	34
Publication status	Published - 2004
Event	NCR-134 Conference: Applied Commodity Price Analysis, Forecasting, and Market Risk Management - Duration: 19 Apr 2004 → 20 Apr 2004

Conference/symposium

Conference/symposium	NCR-134 Conference: Applied Commodity Price Analysis, Forecasting, and Market Risk Management
Period	19/04/04 → 20/04/04

Cite this

@conference{cf39e37ef854465a86a4db29c5bb2087,

title = "Perceptions of Futures Market Liquidity: An Empirical Study of CBOT \& CME Traders",

abstract = "Practitioner's Abstract: Traders' perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liquidity models assume a linear price path, only 12\% of traders perceive such a path. This raises questions on the validity of such models. There is considerable heterogeneity in the perceptions of the price path. While trader characteristics are often used to classify traders, trader characteristics do not explain the heterogeneity in perceptions. On the other hand, traders of a specific contract are associated with particular perceptions of the price path. This indicates that market microstructure may be the primary driver of traders' perceptions of the price path. Keywords: Liquidity, market depth, market microstructure, trader behavior/perceptions",

author = "J.W. Marsh and J.M.E. Pennings and P. Garcia",

year = "2004",

language = "English",

note = "NCR-134 Conference: Applied Commodity Price Analysis, Forecasting, and Market Risk Management ; Conference date: 19-04-2004 Through 20-04-2004",

}

TY - CONF

T1 - Perceptions of Futures Market Liquidity: An Empirical Study of CBOT & CME Traders

AU - Marsh, J.W.

AU - Pennings, J.M.E.

AU - Garcia, P.

PY - 2004

Y1 - 2004

N2 - Practitioner's Abstract: Traders' perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liquidity models assume a linear price path, only 12% of traders perceive such a path. This raises questions on the validity of such models. There is considerable heterogeneity in the perceptions of the price path. While trader characteristics are often used to classify traders, trader characteristics do not explain the heterogeneity in perceptions. On the other hand, traders of a specific contract are associated with particular perceptions of the price path. This indicates that market microstructure may be the primary driver of traders' perceptions of the price path. Keywords: Liquidity, market depth, market microstructure, trader behavior/perceptions

AB - Practitioner's Abstract: Traders' perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liquidity models assume a linear price path, only 12% of traders perceive such a path. This raises questions on the validity of such models. There is considerable heterogeneity in the perceptions of the price path. While trader characteristics are often used to classify traders, trader characteristics do not explain the heterogeneity in perceptions. On the other hand, traders of a specific contract are associated with particular perceptions of the price path. This indicates that market microstructure may be the primary driver of traders' perceptions of the price path. Keywords: Liquidity, market depth, market microstructure, trader behavior/perceptions

M3 - Conference paper

T2 - NCR-134 Conference: Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Y2 - 19 April 2004 through 20 April 2004

ER -

Perceptions of Futures Market Liquidity: An Empirical Study of CBOT & CME Traders

Abstract

Conference/symposium

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