How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity
This essay focuses on the investor structure of the stock index futures market and uses agent-based computational finance method to discuss how the volume-synchronized probability of informed trading (VPIN) affects market absolute yield, information dissemination efficiency, and liquidity with diffe...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2014/742182 |
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| _version_ | 1832560483849207808 |
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| author | Hongli Che Xiong Xiong Juntian Yang Wei Zhang Yongjie Zhang |
| author_facet | Hongli Che Xiong Xiong Juntian Yang Wei Zhang Yongjie Zhang |
| author_sort | Hongli Che |
| collection | DOAJ |
| description | This essay focuses on the investor structure of the stock index futures market and uses agent-based computational finance method to discuss how the volume-synchronized probability of informed trading (VPIN) affects market absolute yield, information dissemination efficiency, and liquidity with different ratios of informed traders in the market. The result shows that the higher the proportion of informed traders is, the more the volatility of the market is. Furthermore, the result indicates that when the proportion of informed traders in the stock index futures market accounts for 1/3-1/2, the transparency and liquidity of the market will be better. |
| format | Article |
| id | doaj-art-a01daa20e4684a8685bf7ae42cf38874 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-a01daa20e4684a8685bf7ae42cf388742025-02-03T01:27:30ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2014-01-01201410.1155/2014/742182742182How Investor Structure Influences the Yield, Information Dissemination Efficiency, and LiquidityHongli Che0Xiong Xiong1Juntian Yang2Wei Zhang3Yongjie Zhang4College of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaThis essay focuses on the investor structure of the stock index futures market and uses agent-based computational finance method to discuss how the volume-synchronized probability of informed trading (VPIN) affects market absolute yield, information dissemination efficiency, and liquidity with different ratios of informed traders in the market. The result shows that the higher the proportion of informed traders is, the more the volatility of the market is. Furthermore, the result indicates that when the proportion of informed traders in the stock index futures market accounts for 1/3-1/2, the transparency and liquidity of the market will be better.http://dx.doi.org/10.1155/2014/742182 |
| spellingShingle | Hongli Che Xiong Xiong Juntian Yang Wei Zhang Yongjie Zhang How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity Discrete Dynamics in Nature and Society |
| title | How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity |
| title_full | How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity |
| title_fullStr | How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity |
| title_full_unstemmed | How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity |
| title_short | How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity |
| title_sort | how investor structure influences the yield information dissemination efficiency and liquidity |
| url | http://dx.doi.org/10.1155/2014/742182 |
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