Liu Wen Wen

Southwest Jiaotong University

No. 111, Sec. North 1, Er-Huan Rd.

Chengdu

Chengdu, Sichuan 610031

China

  • Southwest Jiaotong University

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Investor Sentiment and Microstructure Information in Index Futures Markets

Number of pages: 42 Posted: 26 Sep 2019
Weiping Li and Liu Wen Wen
Civil Aviation Flight University of China and Southwest Jiaotong University
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Abstract:

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Sentiment Index; VPIN; DPIN; Granger Casualty; Chinese Futures Market