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- W2085382199 abstract "This paper examines the extent to which futures price changes are driven by noise and information for three U.K. futures contracts by utilizing T. Andersen's (1996) specification of the mixture of distributions hypothesis. Use of the generalized method of moments approach demonstrates that the link between futures volume and volatility can be attributed to the flow of information. More importantly, it is shown that price movements are dominated by informed rather than noise trading for the FTSE-100, the Long Gilt, and the Brent Oil futures contracts. The results suggest that further regulation based on the notion that noise traders dominate futures trading is unwarranted." @default.
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- W2085382199 date "2004-01-01" @default.
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- W2085382199 title "Information and Noise in U.K. Futures Markets" @default.
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- W2085382199 doi "https://doi.org/10.1002/fut.20104" @default.
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