In this article, we examine how contango and backwardation affects the performance of commodity hedge funds. Evaluation based on commodity trading advisors', CTA. CTA, commodity trading advisers, or managed futures managers' trade in the commodity market. The hedge funds invest in commodity...

In this article, we test the backwardation and contango effects on a 3 – month Eurodollar futures contract by applying a vector error correction, VEC, model. Backwardation is a case where the futures price is below the spot price. It takes place when there is advantage to hold the underlying...

In this article, we test the put –call parity formula on a 3 – month OMX Stockholm 30 index option contract to show any evidence of arbitrage. The purpose of arbitrage is to buy the underpriced contract and sell the overpriced contract to record an arbitrage profit. We will illustrate...

In this article, we have tested the application of a log likelihood object of an ARMA(p,q) model in five hedge funds categories. We have applied an autoregressive moving average, ARMA(2,2) model of order AR(1), AR(2), MA(1), MA(2) and SMA(12) to test the natural logarithmic monthly market...

This article examines the application of the information ratio in a rolling style analysis methodology to test the effects on the lognormal returns of a 3 – month OMX Copenhagen 20 Cap index option contract. The information ratio is calculated as the ratio of the excess return divided by the...

In this article, we are going to explain and analyze the balance of payments, the adjustments of the balance of payments and the adjustments of the open economy macroeconomics. The purpose is to find the economic equilibrium point between receipts and payments. We will illustrate the...

In this article, we have tested the volatility of the returns of the 3 – month AstraZeneca call option contract for changing conditional variances. Threshold generalized autoregressive conditional heteroskedastic models, (TGARCH), exponential generalized autoregressive conditional...

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black...

In this article, we are going to explain and analyze the different price elasticities of demand in relation to prices with intention to show the relative effects of the price and quantity movements along the demand and supply curve. In addition, we will show how they affect the cross elasticity...

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option contract using the ratio of strike and share price. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not...