Interdealer inference and price discovery
研究期货交易商在价格发现中的联合作用，发现活跃交易商是价格领导者，仅五分之一交易商贡献了显著更高的价格发现，且在波动和下跌市场中价格领导更显著。
Abstract Futures floor dealers are investigated in terms of their joint product of price discovery. A vector error correction model is estimated using floor trader proprietary prices, examining the resulting information shares and common factor components. More active dealers are significant price leaders, with only one fifth of the traders responsible for a significantly higher degree of price discovery. Price leadership is more significant in both volatile and falling markets, when information is perhaps more valuable. It is also found that the most active floor traders generally trade at the same time and in the same direction. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 131–154, 2008