Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Journal of Management Sciences in China》 2009-01
Add to Favorite Get Latest Update

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
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
Chinese Journal Full-text Database 1 Hits
1 XIONG Xiong1,XU Jin-hua1,ZHANG Jin2 (1.School of Management,Tianjin University,Tianjin 300072,China;2.Business School Tianjin University of Finance and Economics,Tianjin 300222,China);Research on Risk Monitoring System of China Stock Index Futures[J];The Theory and Practice of Finance and Economics;2009-05
Chinese Journal Full-text Database 1 Hits
1 LI Ping, ZENG Yong, TANG XiaowoSchool of Management, University of Electronic Science and Technology of China, Chengdu 610054, China;Survey of market microstructure theory[J];Journal of Management Sciences in China;2003-05
Chinese Journal Full-text Database 10 Hits
1 WEI Feng,SHE Chuan -qi (School of Economy,Anhui University,Hefei,230039,Anhui );Why Securities' Technical Analysis Method Can Be Use d for Forecasting[J];Journal of Anhui Agricultural University;2002-04
2 XU Qing-ming CHEN Wen-jie (Zhejiang University, Hangzhou 310027, China);Four Theoretical Approaches to Efficiency Issue in Stock Market[J];Commercial Research;2002-18
3 LIU Xiao-xing (Finance Department,Guangdong Business College,Guangzhou 510320,China);On Incentive Mechanism in State-owned Commercial Banks[J];Commercial Research;2006-17
4 XIE Mian-bi(College of Business Administration,Jimei University,Xiamen 361021,China);The New Progress of Research on the Theory of Market Microstructure[J];Journal of Chongqing University(Social Science Edition);2006-01
5 Lin Songli 1 Tang Xu 2;Empirical Studies on Investment Performance in Chiese Stock Market: Momentum Strategy and Contrarian Stratey[J];Finance and Economics;2005-01
6 LOU Yuan (School of Finance, Zhejiang University of Finance and Economics, Hangzhou 310012, China);Issues on Orientation of "second-tier market[J];Collected Essays on Finance and Economics;2004-02
7 ZHAO Yu-ping1,2,ZHANG Jin-dong1,2(1.Nankai University,Tianjin 300071,China;2.Nankai University of Commerce,Tianjin 300134,China);Microstructure analysis on the Theory of Exchange Rate Fluctuation: A Survey[J];Contemporary Economy & Management;2006-06
8 Wang Min1,Liao Shiguang2(1.Economics & Management School,Shanghai Jiaotong University,Shanghai 200052,China;2.Research Institute,Shanghai Stock Exchange,Shanghai 200120,China);The Traders’Structure and Stock Market Price: Evidence from Shenzhen Stock Market[J];Contemporary Economy & Management;2008-07
9 AN Ying-hui~1,ZHANG Wei~1,2,XIONG Xiong~1,JIANG Dong-ming~1(1. School of Management,Tianjin University,Tianjin 300072,China;2. Tianjin University of Finance and Economics,Tianjin 300222,China);An Empirical Study on Option Approach to Project Investment[J];Systems Engineering;2005-07
10 ;做市商制度、人民币汇率形成机制与中国外汇市场的发展[J];Studies of International Finance;2006-04
Chinese Journal Full-text Database 7 Hits
1 DAI Xiao-feng,ZHU Hai-yan (School of Finance, Hunan University,Changsha,Hunan 410079,China);Pricing Efficiency of Index Futures and Stock Market[J];The Theory and Practice of Finance and Economics;2005-03
2 YANG Sheng-gang1,WANG Chen-de1,FAN Zhi2(1.Finance College of HuNan University,Changsha,Hunan 410079,China;2.ICBC Credit Suisse Asset Management Co.Ltd,Beijing 100010,China);An Empirical Analysis of Hedging Effect of the Underlying Index of China Stock Index Futures[J];The Theory and Practice of Finance and Economics;2008-02
3 ZHANG Wei, JIANG Dong-ming, XIONG Xiong, GAO Ya-qin, AN Ying-hui;Study on decision procedure of liquidity risk management of commercial bank[J];Journal of Southeast University Philosophy and Social Science Edition;2004-04
4 ZHENG Zun-xin,WU Chong-fengAntai College of Economics & Management,Shanghai Jiaotong University,Shanghai 200052,China;Cash Settlement Setting of Index Futures under Control of Manipulation[J];Management Sciences in China;2006-05
5 HUANG De-long,YANG Xiao-guangAcademy of Mathematics and Systems Science,Chinese Academy of Sciences,Laboratory of Management Decision and Information System,Chinese Academy of Sciences,Beijing 100080,China;Empirical study on distributions of stock index returns in China's securities market[J];Journal of Management Sciences in China;2008-01
6 LIU Xiang-li~(1,2) CHENG Si-wei~2 WANG Shou-yang~2 HONG Yong-miao~3 1.Department of Fundamental,Beijing Information Technology Institute,Beijing 100101,China;2.School of Management,Graduate School of the Chinese Academy of Sciences,Beijing 100080,China;3.Department of Economics and Department of Statistical Science,Cornell University,NY 14850,U.S.A.;Analysis of information spillover effect between futures market and spot market[J];Journal of Management Sciences in China;2008-03
7 Zhang Chenghu;The Construction of Financial Supervision Information System in Developed Countries and Its Enlightenment for China[J];Journal of Finance;2002-02
【Secondary Citations】
Chinese Journal Full-text Database 5 Hits
1 JI Lu1,CHEN Weizhong2 (1 Management School,Xian University of Transportation,Xian,Shanxi,710049,China; 2School of Economics and Management,Tongji University,Shanghai,200092,China);The Micro Composition of Market and Its Impacts on Market Liquidity[J];RESEARCH ON FINANCIAL AND ECONOMIC ISSUES;2000-09
2 Tang Haipeng (Economice department of Hua Nan Teacher vniversity Guangzhou 510631) Jin Haihao (Lawer′s office of Guangdong Securities Company);Analysis of Our Nation Securities Market Based on Market Microstructive[J];JOURNAL OF GUANGXI INSTITUTE OF TECHNOLOGY;1998-04
3 WU Chong feng, WANG Cheng wei, WU Wen feng Financial Engineering Research Center of Shanghai Jiaotong University, Shanghai 200052, China;Trading volume and dynamic analytic method based on volume-driving prices[J];Journal of Manegement Sciences In China;2002-01
4 ZHUANG Xintian,HUANG Xiaoyuan Faculty of Business Administration, Northeastern University,Shenyang 110004, China;Research of securities market liquidity and chaos of bargainer colony change[J];Journal of Manegement Sciences In China;2002-06
5 Qu Wenzhou and Wu Shinong (School of Management, Xiamen University);An Analysis of Characteristics of China's Stock Market Microstructure[J];Economic Research Journal;2002-01
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved