Changing The Size Of A Futures Contract

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Changing the Size of a Futures Contract

Author : Ahmet K. Karagozoglu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Changing the Size of a Futures Contract by : Ahmet K. Karagozoglu

Download or read book Changing the Size of a Futures Contract written by Ahmet K. Karagozoglu and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the relation between contract size and liquidity using data from the respecification of Sydney Future Exchange?s (SFE) Share Price Index (SPI) and 90-day Bank Accepted Bill (BAB) futures contracts. Respecification of SPI and BAB contracts presents a unique opportunity to investigate the effects of a change in futures contract size. SFE decreased the size of SPI futures by a factor of four while increasing its minimum tick. The BAB contract was doubled in size with the minimum tick size left unchanged. We find, after controlling for market factors, that the respecification of the SPI futures resulted in higher trading volume, while that of BAB futures decreased trading volume. The results regarding spreads are ambiguous. Based on two cases investigated, we conclude that decreasing the futures contract size was effective in terms of enhancing liquidity while increasing the size resulted in a reduction in liquidity.

Volatility and Trading Activity Following Changes in the Size of Futures Contracts

Author : Johan Bjursell
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Volatility and Trading Activity Following Changes in the Size of Futures Contracts by : Johan Bjursell

Download or read book Volatility and Trading Activity Following Changes in the Size of Futures Contracts written by Johan Bjursell and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship between daily price volatility and trading activity one year before and after a change in the size of selected futures contracts. The following three contracts are included in this study: the Stock Price Index traded on the Sydney Futures Exchange (SFE), which had a contract split on October 11, 1993; the FTSE-100 index traded on the London International Financial Futures Exchange (LIFFE), which had a contract split on March 23, 1998; and the 90-Day Bank Acceptance Bill (BAB) traded on the SFE, which had a reverse split on May 1, 1995. We obtain several interesting empirical results. We observe that there is a positive relationship between daily price volatility and the number of trades (trading frequency) before and after a change in the size of the examined futures contracts. We find that the increase (decrease) in total trading frequency has the power to explain the increase (decrease) of daily price volatility after a contract split (reverse split). Most of the average trade size variable has an immaterial impact on price volatility. Decomposing the total trading frequencies into four trade size classes, we find that the trading frequencies for small and large trade size categories are highly significant in explaining changes in daily price volatility after the index futures contracts' splits. These results are consistent with the noise trading hypothesis (Black (1986)) and the hypothesis on less informed trading in index futures markets. For the BAB case, we find that the trading frequencies for small, medium and large sizes impact price volatility before and after the reverse contract split.

Changing Structure of the Electric Power Industry: An Update

Author : Rebecca A. McNerney
Publisher : DIANE Publishing
ISBN 13 : 0788173634
Total Pages : 197 pages
Book Rating : 4.7/5 (881 download)

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Book Synopsis Changing Structure of the Electric Power Industry: An Update by : Rebecca A. McNerney

Download or read book Changing Structure of the Electric Power Industry: An Update written by Rebecca A. McNerney and published by DIANE Publishing. This book was released on 1998-11 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intended for both lay & technical readers, this report serves as a basic reference tool that provides a comprehensive delineation of the electric power industry & its traditional structure, which has been based on its monopoly status. In addition, it describes the industry's transition to a competitive environment by providing a descriptive analysis of the factors that have contributed to the interest in a competitive market, proposed legislative & regulatory actions, & the steps being taken by the various components of the industry to meet the challenges of adapting to & prevailing in a competitive environment. Figures, tables, historical information.

The Changing Structure of the Electric Power Industry: An Update

Author :
Publisher : DIANE Publishing
ISBN 13 : 1422345696
Total Pages : 166 pages
Book Rating : 4.4/5 (223 download)

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Book Synopsis The Changing Structure of the Electric Power Industry: An Update by :

Download or read book The Changing Structure of the Electric Power Industry: An Update written by and published by DIANE Publishing. This book was released on with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Complete Idiot's Guide to Options And Futures, 2nd Edition

Author : Scott Barrie
Publisher : Penguin
ISBN 13 : 1440626022
Total Pages : 372 pages
Book Rating : 4.4/5 (46 download)

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Book Synopsis The Complete Idiot's Guide to Options And Futures, 2nd Edition by : Scott Barrie

Download or read book The Complete Idiot's Guide to Options And Futures, 2nd Edition written by Scott Barrie and published by Penguin. This book was released on 2006-12-05 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: Completely updated, this practical guide has the information investors need to keep up in the complex, fast-paced, and highly profitable world of options and futures, where everything is in play - from oil to diamonds, poultry to vaccines, franchises to coffee. Provides cutting edge information on energy futures and options. Tools for creating flexible strategies that can move with the times. New information on the solid standbys like livestock, precious metals, and equities. Keyed to the new realities of the global economy, making this book vital for investors at all levels. Highly respected expert author.

Code of Federal Regulations

Author :
Publisher :
ISBN 13 :
Total Pages : 924 pages
Book Rating : 4.3/5 (243 download)

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Book Synopsis Code of Federal Regulations by :

Download or read book Code of Federal Regulations written by and published by . This book was released on 2014 with total page 924 pages. Available in PDF, EPUB and Kindle. Book excerpt: Special edition of the Federal Register, containing a codification of documents of general applicability and future effect ... with ancillaries.

U.S. Master GAAP Guide

Author : Bill D. Jarnagin
Publisher : CCH
ISBN 13 : 9780808091905
Total Pages : 1364 pages
Book Rating : 4.0/5 (919 download)

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Book Synopsis U.S. Master GAAP Guide by : Bill D. Jarnagin

Download or read book U.S. Master GAAP Guide written by Bill D. Jarnagin and published by CCH. This book was released on 2008-09 with total page 1364 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a single affordable volume, U.S. Master GAAP Guide offers solutions to many complex accounting and disclosure problems by providing accountants with superior technical analysis, new insights, and practical explanations of accounting principles.

Stock Index Futures

Author : Charles M.S. Sutcliffe
Publisher : Routledge
ISBN 13 : 1351148559
Total Pages : 534 pages
Book Rating : 4.3/5 (511 download)

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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.

Fundamentals of Futures and Options Markets

Author : John C. Hull
Publisher : Prentice Hall
ISBN 13 : 9780131354180
Total Pages : 561 pages
Book Rating : 4.3/5 (541 download)

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Book Synopsis Fundamentals of Futures and Options Markets by : John C. Hull

Download or read book Fundamentals of Futures and Options Markets written by John C. Hull and published by Prentice Hall. This book was released on 2007-05-29 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition presents a reader-friendly textbook with lots of numerical examples and accounts of real-life situations.

Derivatives

Author : Keith Cuthbertson
Publisher : John Wiley & Sons
ISBN 13 : 1119595657
Total Pages : 1086 pages
Book Rating : 4.1/5 (195 download)

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Book Synopsis Derivatives by : Keith Cuthbertson

Download or read book Derivatives written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2019-10-10 with total page 1086 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three experts provide an authoritative guide to the theory and practice of derivatives Derivatives: Theory and Practice and its companion website explore the practical uses of derivatives and offer a guide to the key results on pricing, hedging and speculation using derivative securities. The book links the theoretical and practical aspects of derivatives in one volume whilst keeping mathematics and statistics to a minimum. Throughout the book, the authors put the focus on explanations and applications. Designed as an engaging resource, the book contains commentaries that make serious points in a lighthearted manner. The authors examine the real world of derivatives finance and include discussions on a wide range of topics such as the use of derivatives by hedge funds and the application of strip and stack hedges by corporates, while providing an analysis of how risky the stock market can be for long-term investors, and more. To enhance learning, each chapter contains learning objectives, worked examples, details of relevant finance blogs technical appendices and exercises.

Dynamic Term Structure Modeling

Author : Sanjay K. Nawalkha
Publisher : John Wiley & Sons
ISBN 13 : 0470140062
Total Pages : 722 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Dynamic Term Structure Modeling by : Sanjay K. Nawalkha

Download or read book Dynamic Term Structure Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2007-05-23 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling

Financial Engineering and Computation

Author : Yuh-Dauh Lyuu
Publisher : Cambridge University Press
ISBN 13 : 9780521781718
Total Pages : 654 pages
Book Rating : 4.7/5 (817 download)

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Book Synopsis Financial Engineering and Computation by : Yuh-Dauh Lyuu

Download or read book Financial Engineering and Computation written by Yuh-Dauh Lyuu and published by Cambridge University Press. This book was released on 2002 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.

Using Financial Futures in Trading and Risk Management

Author : Ignacio Mas
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4./5 ( download)

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Book Synopsis Using Financial Futures in Trading and Risk Management by : Ignacio Mas

Download or read book Using Financial Futures in Trading and Risk Management written by Ignacio Mas and published by World Bank Publications. This book was released on 1995 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Federal Register

Author :
Publisher :
ISBN 13 :
Total Pages : 460 pages
Book Rating : 4.3/5 (121 download)

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Book Synopsis Federal Register by :

Download or read book Federal Register written by and published by . This book was released on 2013-05 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Modeling and Optimization of Manufacturing Systems and Supply Chains

Author : J. George Shanthikumar
Publisher : Springer Science & Business Media
ISBN 13 : 1461503736
Total Pages : 413 pages
Book Rating : 4.4/5 (615 download)

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Book Synopsis Stochastic Modeling and Optimization of Manufacturing Systems and Supply Chains by : J. George Shanthikumar

Download or read book Stochastic Modeling and Optimization of Manufacturing Systems and Supply Chains written by J. George Shanthikumar and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume originates from two workshops, both focusing on themes that are reflected in the title of the volume. The first workshop took place at Eindhoven University of Technology, April 24-26, 2001, on the occasion of the University granting a doctorate honoris causa to Profes sor John A. Buzacott. The second workshop was held on June 15, 2002 at Cornell University (preceding the annual INFORMSjMSOM Confer ence), honoring John's retirement and his lifetime contributions. Each of the two workshops consisted of about a dozen technical presentations. The objective of the volume, however, is not to simply publish the proceedings of the two workshops. Rather, our objective is to put to gether a select set of articles, each organized into a well-written chapter, focusing on a timely topic. Collected into a single volume, these chapters aim to serve as a useful reference for researchers and practitioners alike, and also as reading materials for graduate courses or seminars.

World Agricultural Supply and Demand Estimates

Author :
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (89 download)

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Book Synopsis World Agricultural Supply and Demand Estimates by :

Download or read book World Agricultural Supply and Demand Estimates written by and published by . This book was released on 2008 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Derivatives

Author : Wendy L. Pirie
Publisher : John Wiley & Sons
ISBN 13 : 1119381746
Total Pages : 624 pages
Book Rating : 4.1/5 (193 download)

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Book Synopsis Derivatives by : Wendy L. Pirie

Download or read book Derivatives written by Wendy L. Pirie and published by John Wiley & Sons. This book was released on 2017-03-20 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: The complete guide to derivatives, from the experts at the CFA Derivatives is the definitive guide to derivatives, derivative markets, and the use of options in risk management. Written by the experts at the CFA Institute, this book provides authoritative reference for students and investment professionals seeking a deeper understanding for more comprehensive portfolio management. General discussion of the types of derivatives and their characteristics gives way to detailed examination of each market and its contracts, including forwards, futures, options, and swaps, followed by a look at credit derivatives markets and their instruments. Included lecture slides help bring this book directly into the classroom, while the companion workbook (sold separately) provides problems and solutions that align with the text and allows students to test their understanding while facilitating deeper internalization of the material. Derivatives have become essential to effective financial risk management, and create synthetic exposure to asset classes. This book builds a conceptual framework for understanding derivative fundamentals, with systematic coverage and detailed explanations. Understand the different types of derivatives and their characteristics Delve into the various markets and their associated contracts Examine the use of derivatives in portfolio management Learn why derivatives are increasingly fundamental to risk management The CFA Institute is the world's premier association for investment professionals, and the governing body for the CFA, CIPM, and Investment Foundations Programs. Those seeking a deeper understanding of the markets, mechanisms, and use of derivatives will value the level of expertise CFA lends to the discussion, providing a clear, comprehensive resource for students and professionals alike. Whether used alone or in conjunction with the companion workbook, Derivatives offers a complete course in derivatives and their markets.