Sparse Trading, Information Transmission and Futures Prices Recovery (August 2018) | Zendy

Zheng Zunxin | Zendy; Wang Qi | Zendy; Zhu Fumin | Zendy

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Sparse Trading, Information Transmission and Futures Prices Recovery (August 2018)

Author(s) -

Zheng Zunxin,

Wang Qi,

Zhu Fumin

Publication year - 2018

Publication title -

ieee access

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.587

H-Index - 127

ISSN - 2169-3536

DOI - 10.1109/access.2018.2867155

Subject(s) - aerospace , bioengineering , communication, networking and broadcast technologies , components, circuits, devices and systems , computing and processing , engineered materials, dielectrics and plasmas , engineering profession , fields, waves and electromagnetics , general topics for engineers , geoscience , nuclear engineering , photonics and electrooptics , power, energy and industry applications , robotics and control systems , signal processing and analysis , transportation

This paper proposes a sparse trading model of futures prices. The model considers that nearby futures contract with liquidity plays an important role in the price recovery, and allows that far futures contract with sparse trading uses the price of nearby futures contract as a source of information. Also, it is shown whether and how liquidity may well be an influential factor for futures prices in Chinese commodity futures markets. Empirical results show strong evidence for lead-lag information transmission for fuel oil, nature rubber, and soybean, which implies sparse trading effect on futures prices.

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