This paper examines the relationships amongst volatility, total trading volume (TVOL) and total open interest (TOI) for three Taiwan stock index futures markets as well as the role of the latter two variables in the dynamics of GARCH modeling and forecasting. From both ex-post and ex-ante pe...
In the process of evolution, “to arrive” contracts became standardized with respect to grade and delivery period, with allowances for grade adjustment when the delivered grade happened to be different. These developments helped to enlarge the volume of trade, encouraging more trading by merchants ...
Measured by volume, most futures are traded by commercial or institutional entities. Of these, most are hedgers looking to cut their risk of financial losses, as in our examples thus far. Buying futures for these traders is a form of insurance. Meanwhile, speculators trade futures contracts onl...
Most traders never take physical delivery of the asset, whether the underlying asset is barrels of oil, Japanese yen, or bushels of wheat. Rather, traders make and lose money based on the price fluctuations of the contract, with most traders opting to close their position before the contract ...
Most of the papers reprinted in this volume have been revised by elaboration of analysis, discussion of recent development or the presentation of further e... B Yamey - 《Markets Market Control & Marketing Reform》 被引量: 29发表: 1968年 Price instability and commodity futures market. Examines...
The results of linear causality testing reveal the presence of causality running from volume to price but not vice versa. While the results of testing for nonlinear causality are inconsistent, most of the evidence shows that causality runs in both directions. In general, there is evidence for ...
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If a futures trader wants to offset orliquidatea position, the delivery months must match. Most futures positions are excited prior to the delivery month, so the contracts that are close to delivery often see the most volume and set the current price of the underlying commodity. If they don...
This paper examines the price impact of trading intensity on the MexDer THE28 interest rate futures contract, one of the world's most actively traded contracts. A novel volume-augmented duration model of price discovery decomposes trading intensity into liquidity and information components. Duration ...
Portfolio margin.A formulaic approach to margin based on the overall risk of a position. Typically the realm of active traders with many portfolio components. What is Reg T margin? Probably the most commonly known version of margin, “Reg T” refers to the Federal Reserve’s Regulation T, wh...