G14 - Information and Market Efficiency; Event Studies - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:33:00+00:00Retail Order Flow Segmentation
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-20/
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders.2016-04-27T13:18:56+00:00enRetail Order Flow Segmentation2016-04-27Financial marketsFinancial system regulation and policiesMarket structure and pricingStaff Working Paper 2016-20https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-20.pdfRetail Order Flow SegmentationCorey GarriottAdrian WaltonApril 2016GG1G14G2G20LL1L10A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-18/
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.2016-04-18T09:53:37+00:00enA General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil2016-04-18Econometric and statistical methodsInternational topicsStaff Working Paper 2016-18https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-18.pdfA General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude OilChristiane BaumeisterLutz KilianApril 2016CC5C53DD8D84GG1G14QQ4Q43