Probability of Informed Trading with the Day-of-Week Effect on Futures Returns
碩士 === 中原大學 === 國際商學碩士學位學程 === 104 === This study estimates the Volume-Synchronized Probability of Informed Trading (VPIN) which was provided by Easley, Hvidkjaer and O’Hara (2012) in futures market of Taiwan. First, the researcher used GARCH (1,1) model to analyze VPIN impact on futures returns w...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/s9yx9n |