Sparse Trading, Information Transmission and Futures Prices Recovery (August 2018)
This paper proposes a sparse trading model of futures prices. The model considers that nearby futures contract with liquidity plays an important role in the price recovery, and allows that far futures contract with sparse trading uses the price of nearby futures contract as a source of information....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2018-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/8445570/ |