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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