The Behavior and Impact of Heterogeneous Investors in China’s Stock Index Futures Market: An Agent-Based Model on Cross-Market Trades

Table 11

Impact of arbitrageurs of the stock index futures market.

Number of arbitrageurs	Liquidity (cents)	Volatility (bps)	MAE (cents)	MRE (%)
0	7,302,046	47	2,432	0.85
500	7,405,144	47	2,377	0.82
1,000	7,288,207	47	2,377	0.82
2,000	7,341,010	46	2,362	0.82
3,000	7,584,439	45	2,335	0.81