Book Description

Previous studies (on NASDAQ and the Chicago Mercantile Exchange) have documented that electronic trades make a dominant contribution to the price discovery process, as compared to floor trades. In this dissertation, I extend the body of literature on the microstructure of electronic trading in financial markets, with particular emphasis on the E-mini futures markets. In the three essays that are documented here, I present a microscopic examination of price dynamics and futures trading in the E-mini futures markets at the Chicago Mercantile Exchange.