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/ |
| _version_ | 1818871883486986240 |
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| author | Zheng Zunxin Wang Qi Zhu Fumin |
| author_facet | Zheng Zunxin Wang Qi Zhu Fumin |
| author_sort | Zheng Zunxin |
| collection | DOAJ |
| description | 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. Also, it is shown whether and how liquidity may well be an influential factor for futures prices in Chinese commodity futures markets. Empirical results show strong evidence for lead-lag information transmission for fuel oil, nature rubber, and soybean, which implies sparse trading effect on futures prices. |
| first_indexed | 2024-12-19T12:30:00Z |
| format | Article |
| id | doaj.art-030ca259db4f4a6d82d879aa5b0cfe29 |
| institution | Directory Open Access Journal |
| issn | 2169-3536 |
| language | English |
| last_indexed | 2024-12-19T12:30:00Z |
| publishDate | 2018-01-01 |
| publisher | IEEE |
| record_format | Article |
| series | IEEE Access |
| spelling | doaj.art-030ca259db4f4a6d82d879aa5b0cfe292022-12-21T20:21:25ZengIEEEIEEE Access2169-35362018-01-016502785028910.1109/ACCESS.2018.28671558445570Sparse Trading, Information Transmission and Futures Prices Recovery (August 2018)Zheng Zunxin0https://orcid.org/0000-0001-6718-7672Wang Qi1https://orcid.org/0000-0002-0404-1622Zhu Fumin2https://orcid.org/0000-0001-8385-3858College of Economics, Shenzhen University, Shenzhen, ChinaCollege of Management and Economics, Tianjin University, Tianjin, ChinaCollege of Economics, Shenzhen University, Shenzhen, ChinaThis 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. Also, it is shown whether and how liquidity may well be an influential factor for futures prices in Chinese commodity futures markets. Empirical results show strong evidence for lead-lag information transmission for fuel oil, nature rubber, and soybean, which implies sparse trading effect on futures prices.https://ieeexplore.ieee.org/document/8445570/Sparse tradingprice recoveryinformation transmissionfutures prices |
| spellingShingle | Zheng Zunxin Wang Qi Zhu Fumin Sparse Trading, Information Transmission and Futures Prices Recovery (August 2018) IEEE Access Sparse trading price recovery information transmission futures prices |
| title | Sparse Trading, Information Transmission and Futures Prices Recovery (August 2018) |
| title_full | Sparse Trading, Information Transmission and Futures Prices Recovery (August 2018) |
| title_fullStr | Sparse Trading, Information Transmission and Futures Prices Recovery (August 2018) |
| title_full_unstemmed | Sparse Trading, Information Transmission and Futures Prices Recovery (August 2018) |
| title_short | Sparse Trading, Information Transmission and Futures Prices Recovery (August 2018) |
| title_sort | sparse trading information transmission and futures prices recovery august 2018 |
| topic | Sparse trading price recovery information transmission futures prices |
| url | https://ieeexplore.ieee.org/document/8445570/ |
| work_keys_str_mv | AT zhengzunxin sparsetradinginformationtransmissionandfuturespricesrecoveryaugust2018 AT wangqi sparsetradinginformationtransmissionandfuturespricesrecoveryaugust2018 AT zhufumin sparsetradinginformationtransmissionandfuturespricesrecoveryaugust2018 |