When stock futures dominate price discovery
IntermediateHFTIntradayEmpiricalFree to readTestable with your data
On NSE's highly liquid single-stock futures, futures carry about 55% of the information share around news, rising to 61% on bad news when short-sale limits push informed traders to futures. The leverage-versus-liquidity trade-off decides which market leads.
At a glance
- Level
- Intermediate: Comfortable with statistics, regressions and basic probability models
- Horizon
- HFT, Intraday
- Data needed
- Trades, L1 quotes Set what data you have
- Themes
- Microstructure
- Assets
- Equities, Futures
- Market
- India