Abstract:
This paper analyzes the relation between daily liquidity and volatility in the Shanghai cooper futures market in an empirical way. When studying the relationship between trade volume and volatility, the Mixture Distribution Hypothesis theory is applied. When studying the relation between liquidity ratio and volatility, a new model is created. The conclusions are as follows: the trade volume and volatility is evidently positively correlative while the liquidity and volatility is not related at all.