How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity

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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Bibliographic Details
Main Authors:	Hongli Che, Xiong Xiong, Juntian Yang, Wei Zhang, Yongjie Zhang
Format:	Article
Language:	English
Published:	Wiley 2014-01-01
Series:	Discrete Dynamics in Nature and Society
Online Access:	http://dx.doi.org/10.1155/2014/742182
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