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A Trading Strategy Based On The Lead Lag Relationship Between The Spot Index And Futures Contract For The Ftse 100
Download A Trading Strategy Based On The Lead Lag Relationship Between The Spot Index And Futures Contract For The Ftse 100 full books in PDF, epub, and Kindle. Read online A Trading Strategy Based On The Lead Lag Relationship Between The Spot Index And Futures Contract For The Ftse 100 ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis A Trading Strategy Based on the Lead-Lag Relationship between the Spot Index and Futures Contract for the Ftse 100 by : Chris Brooks
Download or read book A Trading Strategy Based on the Lead-Lag Relationship between the Spot Index and Futures Contract for the Ftse 100 written by Chris Brooks and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the lead-lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using ten-minutely observations from June 1996-1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.
Book Synopsis An Analysis of the Lead-lag Relationship Between the FTSE 100 Index Futures and FTSE 100 Index Cash Markets by : I. Banerjee
Download or read book An Analysis of the Lead-lag Relationship Between the FTSE 100 Index Futures and FTSE 100 Index Cash Markets written by I. Banerjee and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Index Futures by : Charles M.S. Sutcliffe
Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Book Synopsis Introductory Econometrics for Finance by : Chris Brooks
Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2002 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
Book Synopsis The Impact of Screen Trading on the Link between Stock Index and Stock Index Futures Prices by : Alex Frino
Download or read book The Impact of Screen Trading on the Link between Stock Index and Stock Index Futures Prices written by Alex Frino and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we consider the impact of the introduction of LIFFE CONNECT on the lead-lag relationship between the FTSE100 index and its futures. In general, the results of this study suggest that the move to screen trading strengthens the simultaneity of price discovery in the cash and futures markets and lessens the existence of a lead-lag relationship. This evidence differs to that of the previous literature which has generally found a strengthening of the lead of the futures market to the cash market. The reason for this difference in results is most likely a reflection of the fact that the cash market was generally floor traded in the previous literature, while in this study the FTSE100 was screen traded.
Book Synopsis Developments in Mean-Variance Efficient Portfolio Selection by : M. Agarwal
Download or read book Developments in Mean-Variance Efficient Portfolio Selection written by M. Agarwal and published by Springer. This book was released on 2015-12-11 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
Book Synopsis Leads and Lags Between FTSE-100 Stock Index Spot & Futures Returns by : Hammad Mehmood
Download or read book Leads and Lags Between FTSE-100 Stock Index Spot & Futures Returns written by Hammad Mehmood and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis international journal of forcating by :
Download or read book international journal of forcating written by and published by . This book was released on 2001 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Mode Decomposition by : J. Nathan Kutz
Download or read book Dynamic Mode Decomposition written by J. Nathan Kutz and published by SIAM. This book was released on 2016-11-23 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data-driven dynamical systems is a burgeoning field?it connects how measurements of nonlinear dynamical systems and/or complex systems can be used with well-established methods in dynamical systems theory. This is a critically important new direction because the governing equations of many problems under consideration by practitioners in various scientific fields are not typically known. Thus, using data alone to help derive, in an optimal sense, the best dynamical system representation of a given application allows for important new insights. The recently developed dynamic mode decomposition (DMD) is an innovative tool for integrating data with dynamical systems theory. The DMD has deep connections with traditional dynamical systems theory and many recent innovations in compressed sensing and machine learning. Dynamic Mode Decomposition: Data-Driven Modeling of Complex Systems, the first book to address the DMD algorithm, presents a pedagogical and comprehensive approach to all aspects of DMD currently developed or under development; blends theoretical development, example codes, and applications to showcase the theory and its many innovations and uses; highlights the numerous innovations around the DMD algorithm and demonstrates its efficacy using example problems from engineering and the physical and biological sciences; and provides extensive MATLAB code, data for intuitive examples of key methods, and graphical presentations.
Book Synopsis Value Creation in E-Business Management by : Matthew L. Nelson
Download or read book Value Creation in E-Business Management written by Matthew L. Nelson and published by Springer Science & Business Media. This book was released on 2009-08-07 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent economic, political, and technological forces are changing the landscape of electronic business and electronic commerce. Although great strides have been made over the past in understanding, researching and advancing e-business, rarely have we witnessed its use so profound and yet its limitations so pronounced, than what has been on global public display for the past 18 months. As a result, new e-commerce strategies and techniques are emerging, collaborative value creation is essential and e-business models are being refined and developed, with special attention towards IS in financial markets, health care and related institutions. It is for these reasons (and many more) that we are so particularly excited and grateful for the collection of papers included in this Value Creation in e-Business Management LNBIP volume number 36. The papers selected in this volume address these emerging e-business issues and are organized into four research lines: Business Models for the Digital Economy, Electronic and Mobile Commerce Behavioral and Global Issues, IS in Financial M- kets and Institutions, Web 2. 0 and E-Commerce and Collaborative Value Creation. The first group, Business Models for the Digital Economy, provides a closer exami- tion of business models from a rich mixture of segments in the IT industry. They - clude Hoyer and Stanoevska-Slabeva’s business model types for enterprise mashup intermediaries, Riehle’s ‘commercial’ open source business model, Chen’s interesting comparison between i-Phone versus Kindles in electronic book sales, and Lyons and coauthors business models in emerging online services.
Book Synopsis The Intelligent Enterprise in the Era of Big Data by : Venkat Srinivasan
Download or read book The Intelligent Enterprise in the Era of Big Data written by Venkat Srinivasan and published by John Wiley & Sons. This book was released on 2016-09-08 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: “ ... the enterprise of today has changed ... wherever you sit in this new corporation ... Srinivasan gives us a practical and provocative guide for rethinking our business process ... calling us all to action around rapid development of our old, hierarchical structures into flexible customer centric competitive force .... A must read for today’s business leader.” Mark Nunnelly, Executive Director, MassIT, Commonwealth of Massachusetts and Managing Director, Bain Capital “’Efficiency,’ ‘agile,’ and ‘analytics’ used to be the rage. Venkat Srinivasan explains in this provocative book why organizations can no longer afford to stop there. They need to move beyond – to be ‘intelligent.’ It isn’t just theory. He’s done it.” Bharat Anand, Henry R. Byers Professor of Business Administration, Harvard Business School In the era of big data and automation, the book presents a cutting-edge approach to how enterprises should organize and function. Striking a practical balance between theory and practice, The Intelligent Enterprise in the Era of Big Data presents the enterprise architecture that identifies the power of the emerging technology environment. Beginning with an introduction to the key challenges that enterprises face, the book systematically outlines modern enterprise architecture through a detailed discussion of the inseparable elements of such architecture: efficiency, flexibility, and intelligence. This architecture enables rapid responses to market needs by sensing important developments in internal and external environments in real time. Illustrating all of these elements in an integrated fashion, The Intelligent Enterprise in the Era of Big Data also features: • A detailed discussion on issues of time-to-market and flexibility with respect to enterprise application technology • Novel analyses illustrated through extensive real-world case studies to help readers better understand the applicability of the architecture and concepts • Various applications of natural language processing to real-world business transactions • Practical approaches for designing and building intelligent enterprises The Intelligent Enterprise in the Era of Big Data is an appropriate reference for business executives, information technology professionals, data scientists, and management consultants. The book is also an excellent supplementary textbook for upper-undergraduate and graduate-level courses in business intelligence, data mining, big data, and business process automation. “a compelling vision of the next generation of organization—the intelligent enterprise—which will leverage not just big data but also unstructured text and artificial intelligence to optimize internal processes in real time ... a must-read book for CEOs and CTOs in all industries.” Ravi Ramamurti, D”Amore-McKim Distinguished Professor of International Business and Strategy, and Director, Center for Emerging Markets, Northeastern University “It is about the brave new world that narrows the gap between technology and business .... The book has practical advice from a thoughtful practitioner. Intelligent automation will be a competitive strength in the future. Will your company be ready?” Victor J. Menezes, Retired Senior Vice Chairman, Citigroup Venkat Srinivasan, PhD, is Chairman and Chief Executive Officer of RAGE Frameworks, Inc., which supports the creation of intelligent business process automation solutions and cognitive intelligence solutions for global corporations. He is an entrepreneur and holds several patents in the area of knowledge-based technology architectures. He is t
Book Synopsis Asset Allocation Considerations for Pension Insurance Funds by : Christian Hertrich
Download or read book Asset Allocation Considerations for Pension Insurance Funds written by Christian Hertrich and published by Springer Science & Business Media. This book was released on 2013-04-16 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: The central research objective of the dissertation is to assess the suitability of Social Responsible Investments (SRIs) as well as alternative investments for the strategic asset allocation of German Pension Insurance Funds (Pensionskassen). Using a Vector Error Correction model, we estimate the data generating process of the underlying input variables. A bootstrap simulation allows generating future return paths of the underlying portfolios. These return distributions will subsequently be used as input for different asset allocation strategies.The empirical results of our research study offer valuable conclusions: (1) SRI-structured portfolios consistently perform better than conventional portfolios, (2) including alternative investments has a beneficial effect on the risk-return distribution and (3) derivative overlay structures mitigate downside risk exposure without impacting average fund performance. In terms of alternative allocation models, (1) high-equity portfolios lead to an increase in return volatility without sufficiently compensating investors with higher returns, (2) hedging against price increases by engineering a portfolio with inflation-suitable assets yields mixed results, (3) a portfolio composition that combines derivative overlay strategies for both equities and corporate bonds and uses SRI-screened assets as underlying generates the best results.
Book Synopsis Ultra High Frequency Statistical Arbitrage Across International Index Futures by : Hamad Alsayed
Download or read book Ultra High Frequency Statistical Arbitrage Across International Index Futures written by Hamad Alsayed and published by . This book was released on 2013 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that exploitable lead-lag relations of the order of a few hundred milliseconds exist in the three pairings between the S&P 500, FTSE 100, and DAX futures contracts. These relations exhibit clear intra-daily patterns, particularly around the US open, the European close, and the announcement of macroeconomic data. Using this information, we forecast mid-quote changes in lagging contracts with a directional accuracy in excess of 85%. A simple statistical arbitrage strategy exploiting these relations yields economically significant profits which are robust to market impact costs and the bid-ask spread. However, returns are sensitive to the risk of slippage, and the most profitable trading opportunities rarely exist for longer than 300 milliseconds. Hence, we highlight price slippage and infrastructure costs as the most significant limits to arbitrage in this market setting. Overall, our results accord with the view that informational inefficiencies incentivize arbitrageurs to appropriate pricing anomalies.
Book Synopsis Education Management and Management Science by : Dawei Zheng
Download or read book Education Management and Management Science written by Dawei Zheng and published by CRC Press. This book was released on 2015-07-28 with total page 710 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume contains selected papers presented at the 2014 International Conference on Education Management and Management Science (ICEMMS 2014), held August 7-8, 2014, in Tianjin, China. The objective of ICEMMS2014 is to provide a platform for researchers, engineers, academicians as well as industrial professionals from all over the wo
Book Synopsis Intraday Lead-Lag Relationship Between Stock Index and Stock Index Futures Markets by : Ersan Ersoy
Download or read book Intraday Lead-Lag Relationship Between Stock Index and Stock Index Futures Markets written by Ersan Ersoy and published by . This book was released on 2016 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore either of the markets is dominant over the other one in the price formation process.
Book Synopsis The Lead-Lag Relation between Spot and Futures Markets Under Different Short-Selling Regimes by : Joseph K. W. Fung
Download or read book The Lead-Lag Relation between Spot and Futures Markets Under Different Short-Selling Regimes written by Joseph K. W. Fung and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the lead-lag relation between index futures and the underlying index under three types of short-selling restrictions on stocks in Hong Kong. Our results indicate that lifting short-selling restrictions can enhance the informational efficiency of the stock market relative to the index futures. We also investigate the impact of two market characteristics, market conditions and the magnitude of mispricing on the lead-lag relations under different short-selling regimes. Our findings suggest that if we remove restrictions, the contemporaneous price relation between the futures and cash markets becomes stronger particularly in the falling market and when the cash market is relatively overpriced.
