Economic Themes (2011) 49 (1) 2, 15-30

THE MICROSTRUCTURE OF CONTEMPORARY DERIVATIVES MARKETS


Srđan Marinković

Abstract: The paper is an empirical survey of the institutional design of a number of derivatives exchanges around the world. We discuss in more details: product range, types of orders used, the automated versus floor-based trade dilemma, trading sessions structure and the role of call auction in it, order priority rules as well as the role of designed market makers. Finally, in concluding section, based on the survey, we derive some empirical regularity concerning the evolution and prospects of derivatives markets.

Keywords:  market microstructure; financial derivatives; exchanges; futures

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