Clustering in the futures market: Evidence from S&P 500 futures contracts

@article{Schwartz2004ClusteringIT,
  title={Clustering in the futures market: Evidence from S&P 500 futures contracts},
  author={A. Schwartz and Bonnie F. Van Ness and Robert A. Van Ness},
  journal={Journal of Futures Markets},
  year={2004},
  volume={24},
  pages={413-428}
}
We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout time to maturity of these contracts, there is a dramatic change when the S&P 500 futures contract is designated a front‐month contract (decrease in clustering) and a back‐month contract (increase in clustering). We find that trade price clustering is a positive function of volatility and a negative function of… Expand
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