Identifying informed traders in futures markets
โ Scribed by Raymond P.H. Fishe; Aaron D. Smith
- Book ID
- 116482395
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 328 KB
- Volume
- 15
- Category
- Article
- ISSN
- 1386-4181
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract The representative agent hypothesis is disputable on theoretical grounds because it is inconsistent with observed trading behavior and the existence of speculative markets. In such markets, the representative agent hypothesis implies agents hold homogeneous expectations. If this were tr
## Abstract Using a proprietary data set from the Sydney Futures Exchange, this study reconciles an inconsistency in futures microstructure literature. One strand of the literature documents that single trades in futures markets contain information, whereas another strand finds that trade packages