{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/117658"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/117658","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Is liquidity provision that informative? Evidence from commodity futures markets","abstract":"Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01","abstract_html":"Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01","abstract_has_math":false,"creators":["Ma, Richie Ruchuan"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"M.S.","degree_level":"Thesis","degree_discipline":"Agricultural & Applied Econ","degree_department":null,"school":null,"contributors":["Serra, Teresa","Garcia, Philip","Irwin, Scott H"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2022,"date_issued":"2022-12","date_published":"2022-12","updated_at":"2026-07-22T22:24:56Z","subjects":["Liquidity Provision","Market Microstructure","Price Discovery","Commodity Futures Markets","Limit Orders"],"languages":["en","eng"],"rights":["Copyright 2022 Richie Ma"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://hdl.handle.net/2142/117658","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Serra, Teresa","Garcia, Philip","Irwin, Scott H"]},{"key":"dc:creator","label":"Author","values":["Ma, Richie Ruchuan"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2022-12","2022-11-28"]},{"key":"dc:type","label":"Dc Type","values":["text","Thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural & Applied Econ"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.S."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Liquidity Provision","Market Microstructure","Price Discovery","Commodity Futures Markets","Limit Orders"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en","eng"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 2022 Richie Ma"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://hdl.handle.net/2142/117658"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01","The student, Richie Ma, accepted the attached license on 2022-11-24 at 11:17.","The student, Richie Ma, submitted this Thesis for approval on 2022-11-24 at 11:28.","This Thesis was approved for publication on 2022-11-28 at 16:10.","DSpace SAF Submission Ingestion Package generated from Vireo submission #18620 on 2023-04-12 at 08:11:20","Electronic trading allows traders to easily monitor markets and respond to changes in real time. This paper examines the dynamics of limit orders and their contribution to price discovery in CME corn, soybean, and wheat futures markets from January 2019 to June 2020. We find that 25% of limit orders submitted are filled, while around 70% are cancelled and 5% revised. Latency of order activity is low, with half of the limit orders being canceled within 3 seconds after their placement in all markets. Most market activity in terms of the number of contracts represents price-matching limit orders (around 90%), while the remaining 10% is composed by limit orders that either improve or worsen the market and by trades. We evaluate the contribution of these events to price discovery. Results suggest that limit orders that better or worsen the market have major roles in corn, soybean, and wheat market price discovery, while price-matching limit orders play a marginal role. The three types of limit orders jointly contribute more to efficient price variance than trades. Our results suggest that most limit orders in grain futures markets continue to play the traditional role of uninformed liquidity provision, which contrasts with previous research results that point at the market depth in these markets being highly relevant for price discovery."]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["Is liquidity provision that informative? Evidence from commodity futures markets"]}]}],"canonical_facts":{"dc:contributor":["Serra, Teresa","Garcia, Philip","Irwin, Scott H"],"dc:creator":["Ma, Richie Ruchuan"],"dc:date":["2022-12","2022-11-28"],"dc:description":["Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01","The student, Richie Ma, accepted the attached license on 2022-11-24 at 11:17.","The student, Richie Ma, submitted this Thesis for approval on 2022-11-24 at 11:28.","This Thesis was approved for publication on 2022-11-28 at 16:10.","DSpace SAF Submission Ingestion Package generated from Vireo submission #18620 on 2023-04-12 at 08:11:20","Electronic trading allows traders to easily monitor markets and respond to changes in real time. This paper examines the dynamics of limit orders and their contribution to price discovery in CME corn, soybean, and wheat futures markets from January 2019 to June 2020. We find that 25% of limit orders submitted are filled, while around 70% are cancelled and 5% revised. Latency of order activity is low, with half of the limit orders being canceled within 3 seconds after their placement in all markets. Most market activity in terms of the number of contracts represents price-matching limit orders (around 90%), while the remaining 10% is composed by limit orders that either improve or worsen the market and by trades. We evaluate the contribution of these events to price discovery. Results suggest that limit orders that better or worsen the market have major roles in corn, soybean, and wheat market price discovery, while price-matching limit orders play a marginal role. The three types of limit orders jointly contribute more to efficient price variance than trades. Our results suggest that most limit orders in grain futures markets continue to play the traditional role of uninformed liquidity provision, which contrasts with previous research results that point at the market depth in these markets being highly relevant for price discovery."],"dc:format":["application/pdf"],"dc:identifier":["https://hdl.handle.net/2142/117658"],"dc:language":["en","eng"],"dc:rights":["Copyright 2022 Richie Ma"],"dc:subject":["Liquidity Provision","Market Microstructure","Price Discovery","Commodity Futures Markets","Limit Orders"],"dc:title":["Is liquidity provision that informative? Evidence from commodity futures markets"],"dc:type":["text","Thesis"],"thesis:degree_discipline":["Agricultural & Applied Econ"],"thesis:degree_level":["Thesis"],"thesis:degree_name":["M.S."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:24:56Z"}