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Author : Nicole Abruzzo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book An Empirical Analysis of Futures Margin Changes written by Nicole Abruzzo and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wesley George McCain
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.F/5 ( download)
Download or read book An Empirical Investigation Into the Effects of Margin Requirements in Organized Commodity Futures Markets written by Wesley George McCain and published by . This book was released on 1969 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Cotter
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book Margin Setting with High-Frequency Data written by John Cotter and published by . This book was released on 2007 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented by research on high-frequency data, financial markets have recently shown high intraday volatility, which could bring more risk than expected. This paper tries to answer two questions relevant for margin committees in practice: is it right to compute margin levels based on closing prices and ignoring intraday dynamics? Is it justified to implement intraday margin calls? The paper focuses on the impact of intraday dynamics of market prices on daily margin levels. Daily margin levels are obtained in two ways: first, by using daily price changes defined with different time-intervals (say from 3 pm to 3 pm on the following trading day instead of traditional closing times); second, by using 5-minute and 1-hour price changes and scaling the results to one day. Our empirical analysis uses the FTSE 100 futures contract traded on LIFFE.
Author : Guanqing Liu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Empirical Analysis of Technical Trading Behaviour, Margin Trading, and Market Reaction to News in Futures Market written by Guanqing Liu and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ya Cai
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (111 download)
Download or read book The Relationship Between Margin Changes and Volatility in Futures Markets written by Ya Cai and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traders in futures markets are required to deposit initial margin requirements for their open futures positions and maintain minimum margin requirements for these open positions. Futures exchanges set these margin requirements and require higher margin requirements for more volatile contracts. It has been argued that futures exchanges may use changing margin requirements to control the volatility of futures contracts and this question is still of interest. To address this question, I investigate the relationship between margin changes and futures price volatility for 24 different futures contracts, which include contracts on agricultural commodities, livestock, equity indices, interest rate and foreign currency. I provide evidence using univariate tests that the futures price volatility is significantly reduced following margin increases, while the futures price volatility increases but to a lesser extent following margin decreases. A regression analysis shows that larger margin changes have a greater negative effect on the futures price volatility. This relationship holds for the different futures contracts. Finally, it may be argued that margin requirements and futures price volatility are endogeneous variables. To address the potential presence of endogeneity, I employ the instrumental variables technique along with two stages least squares estimation and find that the inverse relationship between margin changes and volatility still holds.
Author : Barry Goss
Publisher : Routledge
ISBN 13 : 113497521X
Total Pages : 252 pages
Book Rating : 4.1/5 (349 download)
Download or read book Rational Expectations and Efficiency in Futures Markets written by Barry Goss and published by Routledge. This book was released on 2005-10-09 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.
Author :
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 392 pages
Book Rating : 4.3/5 (512 download)
Download or read book Margins & Market Integrity written by and published by Irwin Professional Publishing. This book was released on 1991 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Olga Lewandowska
Publisher : BoD – Books on Demand
ISBN 13 : 3838214447
Total Pages : 222 pages
Book Rating : 4.8/5 (382 download)
Download or read book Post-Trade Processing of OTC Derivatives written by Olga Lewandowska and published by BoD – Books on Demand. This book was released on 2020-04-30 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial crisis of 2007–2009 exposed the weaknesses of the global over-the-counter (OTC) derivatives market such as limited transparency regarding risk exposures, poor counterparty risk management practices, and the risk of contagion arising from interconnectedness in this market. In the aftermath of the financial crisis, regulators introduced worldwide legislative and regulatory changes aimed at increasing the transparency and stability of the financial markets. In this book, Dr. Olga Lewandowska explores those novel regulatory solutions and their impact. The main focus is on central counterparty (CCP) clearing that became mandatory for OTC derivatives under the new regulatory paradigm. In four research papers, she analyzes CCP from different risk perspectives and based on four diverse research methods. Her book offers a comprehensive assessment of the risk-reduction potential of the CCPs, their implications for the financial markets, and the practical challenges in the implementation of the recent financial market reforms.
Author :
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.:/5 (319 download)
Download or read book Electronic Bulls and Bears written by and published by . This book was released on 1990 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Craig Pirrong
Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 238 pages
Book Rating : 4.1/5 (395 download)
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author : United States. Working Group on Financial Markets
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.:/5 (327 download)
Download or read book Interim Report of the Working Group on Financial Markets written by United States. Working Group on Financial Markets and published by . This book was released on 1988 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher : DIANE Publishing
ISBN 13 : 1428921842
Total Pages : 210 pages
Book Rating : 4.4/5 (289 download)
Download or read book Electronic bulls and bears : U.S. securities markets and information technology. written by and published by DIANE Publishing. This book was released on 1990 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author :
Publisher :
ISBN 13 :
Total Pages : 408 pages
Book Rating : 4.F/5 ( download)
Download or read book Futures Markets: Regulatory issues written by and published by . This book was released on 1985 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hans R. Stoll
Publisher : Springer Science & Business Media
ISBN 13 : 1461557070
Total Pages : 143 pages
Book Rating : 4.4/5 (615 download)
Download or read book Stock Market Policy Since the 1987 Crash written by Hans R. Stoll and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the US stock market crashed on October 19, 1987, many studies have been conducted to learn from this experience in the hopes of avoiding a similarly adverse future fall. The book, originally published as a special issue of the Journal of Financial Services Research, considers some of the important policy adjustments that have been implemented in the wake of the 1987 crash. Taken separately and together, these five papers offer a synthesis and summary of the most important policy innovations that have evolved since the largest single-day decline in stock market history.
Author : Narayanaswamy Balakrishnan
Publisher : John Wiley & Sons
ISBN 13 : 0470405104
Total Pages : 735 pages
Book Rating : 4.4/5 (74 download)
Download or read book Methods and Applications of Statistics in Business, Finance, and Management Science written by Narayanaswamy Balakrishnan and published by John Wiley & Sons. This book was released on 2010-07-13 with total page 735 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inspired by the Encyclopedia of Statistical Sciences, Second Edition, this volume presents the tools and techniques that are essential for carrying out best practices in the modern business world The collection and analysis of quantitative data drives some of the most important conclusions that are drawn in today's business world, such as the preferences of a customer base, the quality of manufactured products, the marketing of products, and the availability of financial resources. As a result, it is essential for individuals working in this environment to have the knowledge and skills to interpret and use statistical techniques in various scenarios. Addressing this need, Methods and Applications of Statistics in Business, Finance, and Management Science serves as a single, one-of-a-kind resource that guides readers through the use of common statistical practices by presenting real-world applications from the fields of business, economics, finance, operations research, and management science. Uniting established literature with the latest research, this volume features classic articles from the acclaimed Encyclopedia of Statistical Sciences, Second Edition along with brand-new contributions written by today's leading academics and practitioners. The result is a compilation that explores classic methodology and new topics, including: Analytical methods for risk management Statistical modeling for online auctions Ranking and selection in mutual funds Uses of Black-Scholes formula in finance Data mining in prediction markets From auditing and marketing to stock market price indices and banking, the presented literature sheds light on the use of quantitative methods in research relating to common financial applications. In addition, the book supplies insight on common uses of statistical techniques such as Bayesian methods, optimization, simulation, forecasting, mathematical modeling, financial time series, and data mining in modern research. Providing a blend of traditional methodology and the latest research, Methods and Applications of Statistics in Business, Finance, and Management Science is an excellent reference for researchers, managers, consultants, and students in the fields of business, management science, operations research, supply chain management, mathematical finance, and economics who must understand statistical literature and carry out quantitative practices to make smart business decisions in their everyday work.
Author : Dr GangineniDhanaiah
Publisher : Archers & Elevators Publishing House
ISBN 13 : 9386501899
Total Pages : pages
Book Rating : 4.3/5 (865 download)
Download or read book A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India written by Dr GangineniDhanaiah and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
