Intraday liquidity in soybean complex futures markets
研究了芝加哥商品交易所大豆复合期货市场中流动性的持续性和跨市场溢出效应，发现订单簿流动性在30秒内呈现正溢出，而更长周期则多为负溢出，对套期保值者和短期交易者有参考价值。
Abstract We examine persistence and cross‐market liquidity spillovers in the Chicago Mercantile Exchange soybean complex futures markets. A multidimensional liquidity measure is derived from the limit‐order‐book, and a Vector Heterogeneous Autoregressive model estimates high‐resoluted liquidity from 30 s to one trading day. We find traders' order placement influenced by the liquidity of related markets. Liquidity persistence and positive liquidity spillovers mainly occur within 30 s, whereas spillovers for longer horizons are mostly negative. Findings are important for hedgers that hedge the crush and traders who wish to capitalize on the short‐term deviation of price relationships.