Article ID Journal Published Year Pages File Type
961573 Journal of Financial Markets 2013 32 Pages PDF
Abstract
► Transaction duration in the carbon market is modelled by a smooth transition ACD. ► Order flow reveals information and 3 groups of trades with varying learning speeds. ► Market is mostly for compliance buy trades with episodes of information arrival. ► Trading is strategic at different rates initiated by informed traders OTC. ► Longer durations are associated with bad news than no news.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Does order flow in the European Carbon Futures Market reveal information?
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