Search Results - subject:"Open Interest"

Which liquidity indicator is more informative to market volatility? : spectrum analysis of China's base metal futures market

Chen, Xiangyu; Tongurai, Jittima - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014485263

The determinants of open interest in option markets

Harris, Jeffrey H.; Shafer, Michael T. - In: The financial review : the official publication of the … 57 (2022) 2, pp. 295-318

Persistent link: https://www.econbiz.de/10013189511

A study investigating the role of economic uncertainty and factors affecting futures indices mispricing

Garg, Deeksha; Narwal, Karam Pal; Gupta, Vikas - In: International journal of monetary economics and finance … 15 (2022) 5, pp. 467-483

Persistent link: https://www.econbiz.de/10014320499

Analysis of investors' prediction potential using Holt Winters model and artificial neural networks

Dungore, Parizad Phiroze - In: Applied economics letters 29 (2022) 21, pp. 2032-2039

Persistent link: https://www.econbiz.de/10013552916

The COVID-19 pandemic, volatility, and trading behavior in the bitcoin futures market

Park, Beum-jo - In: Research in international business and finance 59 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013410802

Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach

Czudaj, Robert L. - 2019

the large literature for equity markets and by allowing for heterogeneity of investors beliefs proxied by open interest … for time-variation when modeling the relationship between volatility, trading volume and open interest for agricultural … period's trading volume and open interest. However, the reversed relationship from lagged volatility to trading volume and …

Persistent link: https://www.econbiz.de/10012011047

Put-Call Ratio volume vs. open interest in predicting market return: A frequency domain rolling causality analysis

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Mitra, Amarnath - In: Economies 7 (2019) 1, pp. 1-10

volume and open interest, in predicting market return at different time scale. Volume PCR was found to be an efficient … predictor of the market return in a short period of 2.5 days and open interest PCR in a long period of 12 days. Thus, traders …

Persistent link: https://www.econbiz.de/10013199536

Dynamics between trading volume, volatility and open interest in agricultural futures markets : a Bayesian time-varying coefficient approach

Czudaj, Robert L. - 2019

Persistent link: https://www.econbiz.de/10012005795

Put-Call Ratio volume vs. open interest in predicting market return : a frequency domain rolling causality analysis

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Mitra, Amarnath - In: Economies : open access journal 7 (2019) 1/24, pp. 1-10

Persistent link: https://www.econbiz.de/10012020492

A pragmatic evaluation of the interconnection between currency futures return volatility, open interest and volume

Devan, Karthika P.; Johnson, Johney - In: Theoretical and applied economics : GAER review 28 (2021) 1/626, pp. 289-296

Persistent link: https://www.econbiz.de/10012693265