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- W3123223722 abstract "I examine the informational contributions and effects on transitory volatility of trades initiated by different types of traders in three actively traded index futures markets. The results show that trades initiated by exchange member firms account for more than 60% of price discovery during the trading day. These institutional trades appear to be more informative than trades of individual exchange members or off-exchange traders. I also find that off-exchange traders introduce more noise into the prices than do exchange members. My findings provide new evidence on the role of different types of traders in the price formation process." @default.
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- W3123223722 date "2008-09-01" @default.
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- W3123223722 title "INFORMATION AND NOISE IN FINANCIAL MARKETS: EVIDENCE FROM THE E-MINI INDEX FUTURES" @default.
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- W3123223722 doi "https://doi.org/10.1111/j.1475-6803.2008.00239.x" @default.
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