Covariance models of stock returns appear throughout the investment process, e.g., forecasting portfolio risk, hedging, constructing Markowitz return-risk optimal portfolios, and algorithmic trading. Typically built from historic time-series, they estimate the past but - because markets and...

The non-fungible token market is a new and ever-changing ecosystem. Research was conducted to examine the NFT market’s adherence to traditional economic models of demand. Such research is crucial in understanding NFTs as viable investment pieces; to this end, a combination of firsthand data...

There is a growing literature examining futures based trading strategies and the performance of Commodity Trading Advisors (CTAs). In this paper, we test the validity of three key assumptions used in these studies. The validity of basing conclusions on analysis of synthetic rather than market...

Given the size of the commodity index market, rollovers require large numbers of contracts to be purchased and sold on rollover dates. Index providers are careful in choosing their roll methods in order to minimize volatility and maximize the market efficiency of their indexes. This study...

Security Transaction Tax (STT) was introduced in the Indian capital market in 2004. It is a tax on transaction of equities as well as their derivatives. Despite the reduction in STT over the years, it constitutes a large percentage (next only to brokerage fee) of the total cost of trading. The...

A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and further exacerbating downturns. Smoothing sharp changes in collateral requirements - an approach known as through-the-cycle...

Stock options have been traded in the United States from the late 1700s, and they are based on underlying common stock issues. Options and futures on corporate securities can be evaluated using the firm's common stock price and its volatility rate because this exercise takes in consideration...