This article examines the efficiency of the weather futures market traded on the CME in both HDD and CDD futures contracts in 18 cities across the United States. Efficiency is examined in three ways. First, by comparing the market's implied forecasts for the weather against other forecasts....

Surprisingly enough, the financial crisis of 2008 has put a bright spotlight on hedge funds once again. In fact, Title IV of the Dodd-Frank act of 2010 places a host of additional regulations on hedge funds through modifications of the Investment Advisor Act of 1940. Yet, hedge funds had little...

The Black-Litterman model has gained popularity in applications in the area of quantitative equity portfolio management. Unfortunately, many recent applications of the Black-Litterman to novel aspects of quantitative portfolio management have neglected the rigor of the original Black-Litterman...

This chapter discusses the concepts related to using futures to hedge a variety of business risks. Those business risks include risks natural and unnatural hedgers might face in the market place. The chapter provides some simple examples of hedging in various markets to give the reader a sense...

The purpose of this study is to determine whether fund managers would do better in allocating their funds among different asset classes by using the new Generalized Autoregressive Conditional Heteroskedastic (GARCH) models. Recently, a spate of papers has been written claiming that GARCH models...

The speculative activities of hedge funds are a hot topic among market agents and authorities. In September 2006, the activities of Amaranth Advisors, a mid-sized Connecticut hedge fund sent menacing ripples through the natural gas market. By September 22, 2006, Amaranth had lost roughly $5.85B...

The recent collapse of the brilliant hedge fund, Long-Term Capital Management, has caused a lot of concern in the financial community. The quants are saddened by the limits of critical thinking and some of the non-quants are claiming that LTCM is just like the rest of them. This article...

One of the most popular theories of the term structure of interest rates is the pure expectations theory. In its purest form it postulates that long term interest rates are a reflection of the market's perception of future short term rates. Almost all of the tests of the pure form of this theory...

This paper tests for the informational content of trading volume {\em per se} as postulated by Blume, Easley, and O'Hara (1994) and about its identification function in price reversals as postulated in Campbell, Grossman, and Wang (1993) using different trading strategy schemes. We find evidence...