Volatility and Depth in Commodity and FX Futures Markets

Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and foreign exchange futures markets during a turbulent time usi...

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Autores principales:	Alexandre Aidov, Olesya Lobanova
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	market depth volatility futures market Risk in industry. Risk management HD61 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/a41f670f560a42a5a12afbde86287e47
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spelling	oai:doaj.org-article:a41f670f560a42a5a12afbde86287e472021-11-25T18:08:42ZVolatility and Depth in Commodity and FX Futures Markets10.3390/jrfm141105451911-80741911-8066https://doaj.org/article/a41f670f560a42a5a12afbde86287e472021-11-01T00:00:00Zhttps://www.mdpi.com/1911-8074/14/11/545https://doaj.org/toc/1911-8066https://doaj.org/toc/1911-8074Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and foreign exchange futures markets during a turbulent time using the generalized method of moments (GMM). Results indicate a negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility increases. Findings help to understand how market participants provide liquidity in response to shifts in prices.Alexandre AidovOlesya LobanovaMDPI AGarticlemarket depthvolatilityfutures marketRisk in industry. Risk managementHD61FinanceHG1-9999ENJournal of Risk and Financial Management, Vol 14, Iss 545, p 545 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	market depth volatility futures market Risk in industry. Risk management HD61 Finance HG1-9999
spellingShingle	market depth volatility futures market Risk in industry. Risk management HD61 Finance HG1-9999 Alexandre Aidov Olesya Lobanova Volatility and Depth in Commodity and FX Futures Markets
description	Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and foreign exchange futures markets during a turbulent time using the generalized method of moments (GMM). Results indicate a negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility increases. Findings help to understand how market participants provide liquidity in response to shifts in prices.
format	article
author	Alexandre Aidov Olesya Lobanova
author_facet	Alexandre Aidov Olesya Lobanova
author_sort	Alexandre Aidov
title	Volatility and Depth in Commodity and FX Futures Markets
title_short	Volatility and Depth in Commodity and FX Futures Markets
title_full	Volatility and Depth in Commodity and FX Futures Markets
title_fullStr	Volatility and Depth in Commodity and FX Futures Markets
title_full_unstemmed	Volatility and Depth in Commodity and FX Futures Markets
title_sort	volatility and depth in commodity and fx futures markets
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/a41f670f560a42a5a12afbde86287e47
work_keys_str_mv	AT alexandreaidov volatilityanddepthincommodityandfxfuturesmarkets AT olesyalobanova volatilityanddepthincommodityandfxfuturesmarkets
_version_	1718411575977574400

Volatility and Depth in Commodity and FX Futures Markets

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