Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Scott Mixon"'
Autor:
Scott Mixon
Publikováno v:
Journal of Futures Markets. 42:413-427
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::416ec11a68910342951960bbc6f23401
https://doi.org/10.1002/fut.22276
https://doi.org/10.1002/fut.22276
Autor:
Esen Onur, Scott Mixon
Publikováno v:
Journal of Futures Markets. 39:1035-1055
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8ddb7c4479e83efd70abec1d9783a2f1
https://doi.org/10.1002/fut.22035
https://doi.org/10.1002/fut.22035
Autor:
Scott Mixon, Esen Onur
Publikováno v:
SSRN Electronic Journal.
We find that intermediary risk appetite plays an important role in the availability of dealer hedging services provided to real economy firms. We show that dealers intermediate the swap exposures of different clienteles and hedge some residual risk i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3b1ccae387dbae6f71d6ae14527a3526
https://doi.org/10.2139/ssrn.3566003
https://doi.org/10.2139/ssrn.3566003
Publikováno v:
Journal of Commodity Markets. 10:3-21
This paper introduces new regulatory data that provides unprecedented visibility into swaps positions of dealers and their counterparties. Our analysis suggests that, contrary to common perception, commercial end-users have a larger footprint in the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a746bff89382dacf01e833e2541c2c1b
https://doi.org/10.1016/j.jcomm.2017.06.001
https://doi.org/10.1016/j.jcomm.2017.06.001
Autor:
Scott Mixon, Tugkan Tuzun
Publikováno v:
Finance and Economics Discussion Series. 2018
We study the price pressure and price discovery effects in the U.S. Treasury market by using a term structure model. Our model decomposes yield curve shifts into two components: a virtually permanent change related to order flow and a transitory, pri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::20e057a8fe556faef35be9928e3944b9
https://doi.org/10.17016/feds.2018.065
https://doi.org/10.17016/feds.2018.065
Autor:
Scott Mixon
Publikováno v:
Oxford Scholarship
Commodity derivatives allow hedgers to smooth wealth across different states of the world and provide a direct link between financial markets and the real economy. This chapter describes recent research related to core concepts for these products: he
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::889a3d47000f35a1c5fb7915ff6287f3
https://doi.org/10.1093/oso/9780190656010.003.0027
https://doi.org/10.1093/oso/9780190656010.003.0027
Publikováno v:
SSRN Electronic Journal.
This paper presents an analysis of new, regulatory data on commodity swaps, focused on West Texas Intermediate (WTI) crude oil. We find that commercial end-users have a much larger footprint in the WTI swaps space than financial end-users do. Commerc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9a1e516693f1f62220f3c8c458a2821a
https://doi.org/10.2139/ssrn.2888993
https://doi.org/10.2139/ssrn.2888993
Autor:
Scott Mixon
Publikováno v:
SSRN Electronic Journal.
The transactions tax on futures sharply reduced trading volume on wheat and corn contracts during the 1920s and 1930s but had no apparent effect on volatility or market quality. I find no evidence of a tax effect on open interest: I hypothesize this
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d072f14acb930524db337d06ace7c9ac
https://doi.org/10.2139/ssrn.2723602
https://doi.org/10.2139/ssrn.2723602
Autor:
Scott Mixon
Publikováno v:
Journal of Financial Economics. 94:171-191
Traders in the nineteenth century appear to have priced options the same way that twenty-first-century traders price options. Empirical regularities relating implied volatility to realized volatility, stock prices, and other implied volatilities (inc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d0b586310a5b2c0c9494335d40b75db7
https://doi.org/10.1016/j.jfineco.2008.09.010
https://doi.org/10.1016/j.jfineco.2008.09.010
Autor:
Scott Mixon
Publikováno v:
The Journal of Economic History. 68:722-757
This article analyzes asset pricing behavior during the period leading up to the Crisis of 1873. Evidence is presented that equities, options, and bonds priced risks consistently, suggesting that investors were actively monitoring the risk of investi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6301272f536c645d4addc1e45f01ecb3
https://doi.org/10.1017/s0022050708000624
https://doi.org/10.1017/s0022050708000624