Price Variability And Maturity Effect Of Futures Trading In Simex PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Price Variability And Maturity Effect Of Futures Trading In Simex PDF full book. Access full book title Price Variability And Maturity Effect Of Futures Trading In Simex.
Author | : Andris Sou Kwan Leong |
Publisher | : |
Total Pages | : 168 |
Release | : 1988 |
Genre | : Foreign exchange futures |
ISBN | : |
Download Price Variability and Maturity Effect of Futures Trading in Simex Book in PDF, ePub and Kindle
Author | : Nikolaos T. Milonas |
Publisher | : |
Total Pages | : 54 |
Release | : 1984 |
Genre | : Commodity exchanges |
ISBN | : |
Download Price Variability in Futures Markets Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Does Futures Exhibit Maturity Effect? New Evidence from an Extensive Set of US and Foreign Futures Contracts Book in PDF, ePub and Kindle
In a seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches maturity. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts than previous studies and analyzing each contract separately. Using 6805 futures contracts drawn from 61 commodities, including some data from non-US markets, we find that the maturity effect is absent in the majority of contracts. In addition, the maturity effect tends to be stronger in agricultural and energy commodities than in financial futures. We also examine the hypothesis in Bessembinder, Coughenour, Seguin, and Smoller (1996), which states that negative covariance between the spot price and net carry cost causes the maturity effect in futures. Our results provide very weak evidence in favor of this hypothesis.
Author | : Clyde Lockwood Marine |
Publisher | : |
Total Pages | : 98 |
Release | : 1959 |
Genre | : |
ISBN | : |
Download Effects of Futures Trading on Price Variation Book in PDF, ePub and Kindle
Author | : Jeffrey A. Frankel |
Publisher | : University of Chicago Press |
Total Pages | : 358 |
Release | : 2009-05-15 |
Genre | : Business & Economics |
ISBN | : 0226260232 |
Download The Microstructure of Foreign Exchange Markets Book in PDF, ePub and Kindle
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Author | : |
Publisher | : |
Total Pages | : 458 |
Release | : |
Genre | : Management |
ISBN | : |
Download APMR Book in PDF, ePub and Kindle
Author | : Ryuzo Sato |
Publisher | : Cambridge University Press |
Total Pages | : 288 |
Release | : 1994 |
Genre | : Business & Economics |
ISBN | : 9780521568456 |
Download Japan, Europe, and International Financial Markets Book in PDF, ePub and Kindle
This 1994 volume examines the ramifications of deregulation in various financial markets throughout the 1980s.
Author | : Keith Cuthbertson |
Publisher | : John Wiley & Sons |
Total Pages | : 802 |
Release | : 2001-06-08 |
Genre | : Business & Economics |
ISBN | : 0471495840 |
Download Financial Engineering Book in PDF, ePub and Kindle
This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications. Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy. This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors. The authors adopt a real-world emphasis throughout, and include features such as: * topic boxes, worked examples and learning objectives * Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases * supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software
Author | : Diego Valiante |
Publisher | : |
Total Pages | : 0 |
Release | : 2013 |
Genre | : Business & Economics |
ISBN | : 9789461381835 |
Download Price Formation in Commodities Markets Book in PDF, ePub and Kindle
The current rapid rise of commodity prices comes at a critical moment, as European and U.S. economies stagger in their attempts to regain ground lost in the recent financial crisis. Facing mounting worries and anger from both policymakers and the public, regulators at the most recent G20 summit agreed to address commodity price volatility worldwide. They are bringing forward a number of proposals to improve the regulation, functioning, and transparency of commodity markets. This book collects the findings of a task force composed of financial and nonfinancial firms as well as regulators and academics. It sheds new light on price formation mechanisms in spot and future commodities markets and highlights key drivers of price formation in main commodities markets.
Author | : Joseph Rosen |
Publisher | : |
Total Pages | : 0 |
Release | : 2009-06-18 |
Genre | : Electronic trading of securities |
ISBN | : 9780981464602 |
Download The Handbook of Electronic Trading Book in PDF, ePub and Kindle
This book provides a comprehensive look at the challenges of keeping up with liquidity needs and technology advancements. It is also a sourcebook for understandable, practical solutions on trading and technology.