E-mini S&P500dynamic hedginghedge modelshedge strategyIn this study we explore the differences in hedging effectiveness between S&P500 and E-mini S&P500 futures contracts. We utilize VAR (vector autoregressive model), ECM (error correction model), bivariate GARCH, and Kalman filter to minimize ...
比如e-mini一个点位值50元，当指数是2464.29点时，就代表这个index futures的价格是50*2464.29。
The difference is in the box size, the tick value and of course periods of high liquidity when the instrument moves. So a word of caution that you should not fall prey to such marketing tricks that promise you the holy grail of E-mini S&P500 futures trading. That said, here are some ...
doi:10.1080/09720510.2005.10701158Mingchih LeeJer Shiou ChiouPei Shan WuChun Da Chen
Standard and Poor's 500 Stock Price Index. The minimum fluctuation of the futures contract shall be .25 index points, equivalent to $12.50 per contract. Trades may also occur in multiples of .05 index points, for E-Mini S&P 500 futures calendar spreads executed as simultaneous ...
Index Futures – SP (pit based, $250 per point), ES (Emini S&P, electronic, $50 per point) Index Options – SPX All these instruments are closely related and they moves in sync most of the time during US market hours. By understanding the behaviour of the cash index itself and/or th...
A futures contract allows its parties to buy or sell a specific underlying asset at a set future date. The underlying asset can be a commodity, a security, or some other financial instrument. These agreements are best entered after you’ve learned some basics, and should not be invested in...
U.S. equity market index futures were broadly weaker as the results turned in favor of the Democrats, signaling stocks could open on the soft side on Wednesday morning. The benchmark S&P 500 e-mini futures contract was down 0.6%, while futures tracking the tech-he...
This article examines the determinants of trading decisions, and the performance of trader types, in the context of the E-Mini S&P 500 futures and S&P 500 ... LA Smales - 《Ssrn Electronic Journal》 被引量: 0发表: 2013年 China Food & Drink Report Q3 2009. In line with our bearish out...
Traders reported heavy activity in mini S&P futures right around the close. The Nasdaq, dragged down by Apple, fell 2 points to 3160, and was up 0.6 percent for the month. Stock futures traded lower in early evening trading. "There's been a lot of mysterious market moves lately. Things ...