This paper investigates the relationship between futures prices and financial investments in derivatives of the main agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that traders who deal mostly in commodity index...

This article investigates price and trading volume relations for near term crude oil contracts at the New York Mercantile Exchange (NYMEX). The study investigates the informativeness of after-hours trading under the prior assumption that daytime and after-hours trading sessions are completely...

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...

The need to develop securities market has, following the recent international financial crises, increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong interest in ensuring the stable growth of...

A trading rule that draws on the empirical similarity concept is proposed to simulate the technical trading mentality

In this paper we conduct tests for two different trading rules, namely, the Dual Moving Average (DMA) model and the Channel Breakout (CHB) rule. These rules are tested across five futures contracts – the S&P 500, British Pound, US T-Bonds, COMEX Gold and Corn using daily data over the period...

In this paper we conduct tests for two different trading rules, namely, the Dual Moving Average (DMA) model and the Channel Breakout (CHB) rule. These rules are tested across five futures contracts – the S&P 500, British Pound, US T‐Bonds, COMEX Gold and Corn using daily data over the period...

This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. We consider both external and domestic retructurings. Haircuts are computed as the percentage difference between the present values...

This paper analyzes prices and volumes in the T-bill futures market using a physical analogy called Brownian Motion. The results are similar to those obtained in previous studies of stock markets. For prices, the T-bill futures market failed to exhibit the presence of resistance and support...

A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....