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Noise and aggregation of information in large markets

✍ Scribed by García, Diego; Urošević, Branko

Book ID
123129556
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
373 KB
Volume
16
Category
Article
ISSN
1386-4181

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## 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