Skip to main content

Main menu

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Trading
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Trading

The Journal of Trading

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

Return Dynamics and Trading Strategy in Alternative Trading Systems

Jeffrey R. Black, Hong Miao and Sanjay Ramchander
The Journal of Trading Summer 2012, 7 (3) 52-65; DOI: https://doi.org/10.3905/jot.2012.7.3.052
Jeffrey R. Black
is a graduate student at Colorado State University in Fort Collins, CO.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: jeffblack@usa.com
Hong Miao
is an assistant professor of finance at Colorado State University in Fort Collins, CO.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: hong.miao@business.colostate.edu
Sanjay Ramchander
is a professor of finance at Colorado State University in Fort Collins, CO.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: sanjay.ramchander@business.colostate.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

This article examines intra-day price relationships between electronic and floor (pit) trading markets for the S&P 500 and Nasdaq 100 equity index futures. The two contracts trade in dual open outcry and electronic platforms during non-overlapping trading hours. The results indicate that closing transactions on the electronic market have a systematically negative influence on the opening prices established on the pit. In contrast, pit prices at the end of the regular trading have a positive, but less pronounced impact on the opening prices established in the electronic exchange. Based on this relationship, we document a profitable high-frequency trading strategy that can only be partly explained by macroeconomic news.

TOPICS: Exchanges/markets/clearinghouses, portfolio construction, statistical methods

  • © 2012 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Trading: 7 (3)
The Journal of Trading
Vol. 7, Issue 3
Summer 2012
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Return Dynamics and Trading Strategy in Alternative Trading Systems
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Return Dynamics and Trading Strategy in Alternative Trading Systems
Jeffrey R. Black, Hong Miao, Sanjay Ramchander
The Journal of Trading Jun 2012, 7 (3) 52-65; DOI: 10.3905/jot.2012.7.3.052

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Return Dynamics and Trading Strategy in Alternative Trading Systems
Jeffrey R. Black, Hong Miao, Sanjay Ramchander
The Journal of Trading Jun 2012, 7 (3) 52-65; DOI: 10.3905/jot.2012.7.3.052
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • LITERATURE REVIEW
    • DATA DESCRIPTION
    • EMPIRICAL RESULTS
    • TRADING STRATEGY
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies