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Discrete Dynamics in Nature and Society
Volume 2014 (2014), Article ID 742182, 8 pages
http://dx.doi.org/10.1155/2014/742182
Research Article

How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity

1College of Management and Economics, Tianjin University, Tianjin 300072, China
2China Center for Social Computing and Analytics, Tianjin University, Tianjin 300072, China

Received 8 March 2014; Accepted 12 May 2014; Published 25 May 2014

Academic Editor: Fenghua Wen

Copyright © 2014 Hongli Che et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

This essay focuses on the investor structure of the stock index futures market and uses agent-based computational finance method to discuss how the volume-synchronized probability of informed trading (VPIN) affects market absolute yield, information dissemination efficiency, and liquidity with different ratios of informed traders in the market. The result shows that the higher the proportion of informed traders is, the more the volatility of the market is. Furthermore, the result indicates that when the proportion of informed traders in the stock index futures market accounts for 1/3-1/2, the transparency and liquidity of the market will be better.