The price path due to order imbalances: evidence from the Amsterdam Agricultural Futures Exchange
分析了期货市场中订单不平衡导致的价格路径，推导出二维市场深度指标，并用阿姆斯特丹农产品期货交易所的数据验证了管理启示，帮助交易所改善市场深度、帮助对冲者理解市场深度风险。
The lack of sufficient market depth particularly in many newly initiated futures markets results in relatively high hedging costs, and this inhibits the growth of futures contract volume. In this article the price path due to order imbalances is analyzed and a two‐dimensional market depth measure is derived.Understanding the underlying structure of futures market depth provides the management of the futures exchange with a framework for improving their market depth and gives hedgers a better understanding of market depth risk. The managerial implications of our findings are demonstrated empirically using data from the Amsterdam Agricultural Futures Exchange.