The Relative Rate of Price Discovery and Liquidity between the Regular-sized Taiwan Index Futures and Mini Contract
This article examines the liquidity hypothesis of price leadership, which suggests a positive influence of trading intensity to price discovery. We compare intraday price discovery between two futures contracts: the regular-sized Taiwan index futures (TX) and its mini contracts (MTX). Using data matching techniques to distinguish the impact of liquidity on price discovery, we find that a nontrivial portion (average 13%) of the TX information share can be attributable to its higher trading frequency. In addition, the information leading tendency of TX strengthens when the TX trading volume rises relative to the MTX volume.
With Shanghai stock exchange market as a research object, this paper studies the complexity of the stock exchange market using the cellular automata theory and model. With the fractal theory as a tool, the R/S method is used to compare the real and the simulated data, which verifies the validity of the simulation. In the CA model, with different initial values and rules, we can improve the study on complexity in the stork exchange market.