Noise and information in UK futures markets
(2004)
Journal Article
Holmes, P., & Tomsett, M. (2004). Noise and information in UK futures markets. Journal of Futures Markets, 24(8), 711-731. https://doi.org/10.1002/fut.20104
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 meth... Read More about Noise and information in UK futures markets.