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Purpose: The study systematically investigates persistence in performance for simulated trading among non-professional traders in the futures market. Design/methodology/approach: In this study, the authors employ a novel data set from the Chicago Mercantile Exchange (CME) Group's Trading...
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Purpose: The purpose of this paper is to analyze different behaviors between long-term options’ implied volatilities and realized volatilities. Design/methodology/approach: This paper uses a widely adopted short interest rate model that describes a stochastic process of the short interest...
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