Peer-reviewed Publications

Commodity trading

Richie R. Ma and Teresa Serra. Is liquidity provision informative? Evidence from agricultural futures markets. American Journal of Agricultural Economics, January 2025

Abstract: Electronic commodity trading witnesses a massive volume of order messages every trading day, but little is known about their informativeness. We examine limit order dynamics and their role in price discovery in the Chicago Mercantile Exchange (CME) corn, soybean, and wheat futures markets from January 2019 to June 2020, using order-level data. Between 75% and 79% of the large number of limit orders submitted are then deleted, which contrasts with the much smaller proportion getting executed or revised. Aggressive trades and limit orders substantially contribute to price discovery, whereas nonaggressive trades and limit orders, representing most market events, play a minor role. Following public information releases, there is a shift in trading strategies, with trades contributing more to price discovery and aggressive limit orders contributing less, compared to non-release days. Our findings suggest that most limit orders in agricultural futures markets continue to play the traditional role of uninformed liquidity provision.

Futures markets and price analysis

Richie R. Ma, Tao Xiong, and Yukun Bao. The Russia-Saudi Arabia oil price war during the COVID-19 pandemic. Energy Economics, October 2021

Abstract: The COVID-19 pandemic damaged crude oil markets and amplified the consequences of uncertainty stemming from the Russia-Saudi Arabia oil price war in March-April of 2020. We investigate the impacts of the oil price war on global crude oil markets. By doing so, we use the daily futures and spot prices in three major crude oil markets – West Texas Intermediate, European Brent, and Oman – to perform a systematic analysis of the impacts of the oil price war on them. The event study method, a well-established analytical tool to measure the impacts of a given event on markets, is used in this study. The results indicate that information leakage plays an important role in the impacts of the price war. The outbreak of and truce following the price war have asymmetrical impacts on the markets; negative impacts generated by information leakage during the outbreak are generally more durable than the positive ones it generated during the truce. Furthermore, the magnitude of the impacts on futures markets is negatively correlated with the time-to-maturity of futures. Finally, negative crude oil prices affect West Texas Intermediate crude oil markets the most. Our findings generally show that market participants could perceive and assimilate market changes and adjust their expectations, which restrained the impacts that should have occurred within the oil price war.

Richie R. Ma and Tao Xiong. Price explosiveness in nonferrous metal futures markets. Economic Modelling, January 2021

Abstract: Whether high price volatility could reflect market fundamentals is still open to debate, although the literature has established the presence of price explosiveness in many financial markets. Using the futures prices of six dominant nonferrous metals in 2014–2018, we investigate the characteristics and determinants of price explosiveness in nonferrous metal futures markets. We find that during the past 15 years, the markets have displayed price explosiveness and they have limited ability to adjust to price changes. High interest rates would trigger price explosiveness through high investment cost, while a high exchange rate would decrease it by increasing nonferrous metal availability. An exuberant stock market would reduce price explosiveness by migrating risk from nonferrous metal markets. A booming economic environment causes price explosiveness through increased demand for nonferrous metals. Our findings refute the notion that market fundamentals can exclusively drive futures prices, even in the context of high price volatility.

Work in progress

Grain merchandising and crop insurance: Evidence from the U.S. corn belt

Local cash–futures basis and climate-related natural disasters: Corporate spillover effects

Geopolitical disruptions and oil trade: Evidence from the Strait of Hormuz closure

Trademarks from local specialties: The documentary effect of A Bite of China with Zhankun Chen (CUHK) and Yiyi Zhao (CUHK)

Finer pricing grid, better market liquidity? Evidence from Chinese soybean oil futures markets with Xiaoyi Fang (U Arkansas)

Futures price limits and options trading: Evidence from livestock markets with Xiaoyi Fang (U Arkansas)

Working Papers

Commodity trading

Richie R. Ma, Brian G. Peterson, and Teresa Serra. Who benefits from a faster exchange? Evidence from agricultural futures electronic trading [Job market paper] Draft coming soon.

Abstract: As trading has transitioned to electronic platforms, both traders and exchanges have invested in technologies that reduce trading latency. Yet little is known about how exchange processing latency affects market quality or whether its effects differ across market participants. Using message data from the Chicago Mercantile Exchange (CME), we examine these effects and their distribution between liquidity providers and liquidity takers. To address endogeneity, we exploit cross-commodity processing congestion arising from the shared order-processing system as an instrument for exchange latency. We find that lower exchange latency primarily benefits liquidity providers by increasing market-making revenues while reducing adverse selection costs, but can increase the immediate trading costs borne by liquidity takers. Our findings also reveal a congestion-based externality across commodity markets and highlight the importance of processing capacity in exchange design.

Richie R. Ma and Teresa Serra. When options lead and futures inform: Price discovery in agricultural derivatives markets. Revise and Resubmit at European Review of Agricultural Economics

Abstract: Electronic trading allows prices to impound information through both trades and aggressive quotes at the top of the limit order book. Agricultural options markets exhibit frequent aggressive quoting despite thin trading activity, yet little is known about how they contribute to price discovery relative to their underlying futures. Using Chicago Mercantile Exchange (CME) intraday data, this paper examines price discovery between agricultural futures and options, documenting a contrast between timeliness and informativeness. Options incorporate new information more quickly than the underlying futures, yet futures remain the primary source of price informativeness. We find that a 1% increase in relative aggressive quoting is associated with a 0.25% increase in options’ timeliness leadership and a 0.15% decline in their relative informativeness. By contrast, options’ relative trading volume is negatively associated with their timeliness advantage and is unrelated to informativeness.

  • AAEA version; Slides
  • Presentations: Inter–Finance PhD; UIUC ACE FACS; 2024 Summer School on Market Microstructure; 2025 AFA Annual Meeting Ph.D. Poster Session; 2025 SWFA Annual Meeting; 2025 MFA Annual Meeting; 2025 NCCC–134 Conference; 2026 AAEA Annual Meeting
Richie R. Ma, Teresa Serra, Brian G. Peterson, and Scott H. Irwin. One contract, two deals: Do exchange-traded calendar spreads matter? Under Review

Abstract: As trading has transitioned to electronic platforms, both traders and exchanges have invested in technologies that reduce trading latency. Yet little is known about how exchange processing latency affects market quality or whether its effects differ across market participants. Using message data from the Chicago Mercantile Exchange (CME), we examine these effects and their distribution between liquidity providers and liquidity takers. Because messages are processed sequentially, messages already queued ahead of a focal message delay its processing and can alter the liquidity available by the time it executes. To address endogeneity, we exploit cross-commodity processing congestion arising from the shared order-processing system as an instrument for exchange latency. We find that lower exchange latency primarily benefits liquidity providers by increasing market-making revenues while reducing adverse selection costs, but can increase the immediate trading costs borne by liquidity takers. Our findings also reveal a congestion-based externality across commodity markets and highlight the importance of processing capacity and queue dynamics in exchange design.

Austin Belman, Richie R. Ma, Esteban Vizcarrondo, and Teresa Serra. Algorithmic trading and liquidity in overnight U.S. agricultural futures markets

Abstract: We examine whether algorithmic trading (AT) sustains market quality during thin overnight sessions in corn and soybean futures markets, treating the overnight session as an analogue for additional trading hours under a 24/7 regime. Daytime trading, with greater participation from commercial and other human traders, provides a high-participation benchmark. Using tick-level intraday data from 2016 to 2024, we compare associations between message-based AT intensity and effective spreads (trading costs), realized spreads (liquidity-provider gross revenues), and price impacts (adverse-selection costs) across daytime and overnight sessions. AT is associated with lower trading costs in both commodities and lower adverse-selection costs, although these associations weaken more overnight in corn than in soybeans. The results do not support agricultural stakeholders’ concern that greater reliance on AT would degrade market quality during the additional low-participation hours created by continuous trading.

  • Presentations: 2026 NCCC-134 Conference