Information and Noise in U.K. Futures Ma
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Phil Holmes; Mark Tomsett
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Article
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2004
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John Wiley and Sons
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English
β 180 KB
## 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 t