Conference
Do Price Limits Inhibit Futures Prices?
Abstract
We investigate the effect of daily price limits, which trigger a trading halt if the limit is hit, in futures markets. Empirically, it has been observed that futures price limits are rarely hit. This could be because traders avoid putting in bid-ask quotes which could trigger a trading halt. If this is true, futures prices would cluster in a narrow region close to the limits without hitting them. We test this for the British pound futures …
Authors
Shanker L; Balakrishnan N
Pagination
pp. 1-5
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Publication Date
April 1, 2008
DOI
10.1109/ipdps.2008.4536459
Name of conference
2008 IEEE International Symposium on Parallel and Distributed Processing
Conference proceedings
2008 IEEE International Symposium on Parallel and Distributed Processing
ISSN
1530-2075