Journal of Futures Markets: Volume 40, Number 2, February 2020

• Date: 01 February 2020
• Published date: 01 February 2020
• DOI: http://doi.org/10.1002/fut.22024

Volume 40 Number 2 February 2020

FUTURES MARKETS

CONTENTSCONTENTS

T H E J O U R N A L O F

Editor’s Note Editor’s Note 163163

ROBERT I. WEBBROBERT I. WEBB

Flow toxicity of high‐frequency trading and its impact on price volatility: Flow toxicity of high‐frequency trading and its impact on price volatility:

Evidence from the KOSPI 200 futures market Evidence from the KOSPI 200 futures market 164164

JANGKOO KANG, KYUNG YOON KWONJANGKOO KANG, KYUNG YOON KWON and and WOOYEON KIMWOOYEON KIM

Heterogeneity and netting efficiency under central clearing: Heterogeneity and netting efficiency under central clearing:

A stochastic network analysis A stochastic network analysis 192192

INJUN HWANGINJUN HWANG and and BAEHO KIMBAEHO KIM

The impact of net buying pressure on VIX option prices The impact of net buying pressure on VIX option prices 209209

YI‐WEI CHUANG, WEI‐CHE TSAIYI‐WEI CHUANG, WEI‐CHE TSAI and and MING‐HUNG WUMING‐HUNG WU

Are disposition effect and skew preference correlated? Are disposition effect and skew preference correlated?

Evidence from account‐level ELW transactions Evidence from account‐level ELW transactions 228228

YOUNGSOO CHOI, WOOJIN KIMYOUNGSOO CHOI, WOOJIN KIM and and EUNJI KWONEUNJI KWON

Systemic risk in market microstructure of crude oil and gasoline futures Systemic risk in market microstructure of crude oil and gasoline futures

prices: A Hawkes flocking model approach prices: A Hawkes flocking model approach 247247

HYUN JIN JANG, KISEOP LEEHYUN JIN JANG, KISEOP LEE and and KYUNGSUB LEEKYUNGSUB LEE

Volume 40 , Number 2 was mailed the week of 13 January, 2020

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Special Issue from Asia-Pacifi c Association of Derivatives Conference Special Issue from Asia-Pacifi c Association of Derivatives Conference

held in Busan, Korea in 2019held in Busan, Korea in 2019