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《Journal of Management Sciences in China》 2009-01
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Study on microstructures comparison between cash market and futures market

XIAO Hui,WU Chong-fengResearch Center of Financial Engineering,Shanghai Jiaotong University,Shanghai 200052,China  
The Microstructures between the cash market and futures market is different.This paper investigates the strategy of the informed trader who owned the specific security information.The strategies of the market maker and the uninformed strategic trader are also analyzed under the same conditions.The study considers the trade cost and the short sales constraints.The different between the cash market and futures market are compared through our research.
【Fund】: 国家杰出青年基金资助项目(70025303);; 国家自然科学基金资助项目(70173031)
【CateGory Index】: F713.35;F224
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