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Investigating the profit performance of quantitative timing trading strategies in the Shanghai copper futures market, 2020-2022

Tian, Hongyu; Wang, Wei; Yang, Mengxin; Yilmaz, Ali - In: International studies of economics 19 (2024) 4, pp. 589-616

mitigate the potential risk of data-snooping bias-the probability that any favorable results may inadvertently arise from …

Persistent link: https://www.econbiz.de/10015194169

Are E-mini S&P 500 Futures Prices Random?

Salov, Valerii - 2021

Chains of the CME Group Time and Sales E-mini S&P 500 futures tick prices and their a-b-c-d-increments are studied. A discrete probability distribution based on the Hurwitz Zeta function and Dirichlet series is suggested for the price increments. The randomness of the ticks is discussed using...

Persistent link: https://www.econbiz.de/10013249756

Price leadership between spot and futures markets

Kumar, Kiran; Chaturvedula, Chakrapani - In: Journal of applied finance & banking 3 (2013) 1, pp. 93-107

This paper aims to study the relative information shares of spot and futures market at the individual stock level to measure the price discovery in spot and futures market in the Indian capital markets. We find that the spot and futures prices are co-integrated and mutually adjusting. Building...

Persistent link: https://www.econbiz.de/10009741222

Illiquidity transmission from spot to futures markets

Korn, Olaf; Krischak, Paolo; Theissen, Erik - 2014

We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge … futures market, but rather interacts with price risk, liquidity risk, and the risk aversion of the market maker. The … results support our model. In particular, they show that the derivative hedge theory is important for the explanation of the …

Persistent link: https://www.econbiz.de/10010399342

Impact of transaction taxes on commodity derivatives trading in India

Ray, Saon; Malik, Neha - 2014

Commodity derivatives were introduced in India with a dual purpose of promoting price discovery and enhancing risk …

Persistent link: https://www.econbiz.de/10010354169

The effect of nighttime trading of futures markets on information flows : evidence from China

Fung, Hung-gay; Mai, Liuqing; Zhao, Lin - In: China finance and economic review : CFER 4 (2016), pp. 1-16

Background: In the past couple of years, China's futures exchanges have launched nighttime trading sessions. Methods: We use daily data from 23 commodity futures to investigate the impact of this important policy change. Results: Our findings suggest that the launching of nighttime trading...

Persistent link: https://www.econbiz.de/10011499355

Illiquidity transmission from spot to futures markets

Korn, Olaf; Krischak, Paolo; Theissen, Erik - 2017 - [vers. 08/2017]

We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory … but, rather, interacts with price risk, liquidity risk, and the risk aversion of the market maker. The model's predictions … support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and …

Persistent link: https://www.econbiz.de/10011713434

Speculative Futures Trading Under Mean Reversion

Leung, Tim - 2016

This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-Uhlenbeck (OU), Cox-Ingersoll-Ross (CIR), or exponential Ornstein-Uhlenbeck (XOU) model. The futures term structure...

Persistent link: https://www.econbiz.de/10013002893

Identifying Informed Traders in Futures Markets

Fishe, Raymond P. H. - 2011

We use daily positions of futures market participants to identify informed traders. These data cover the period from 2000 to mid-2009 and contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap between these two...

Persistent link: https://www.econbiz.de/10013132616

The Impact of Commodity Benchmarks on Derivatives Markets : The Case of the Dated Brent Assessment and Brent Futures

Frino, Alex - 2018

We examine the response of ICE Brent Crude futures to the spot Dated Brent benchmark published by Platts. Trading activity in the futures market intensifies during the benchmark assessment. We also find trading in the direction of the published benchmark during the price assessment window....

Persistent link: https://www.econbiz.de/10012936590